Firm Survival and Time Aggregation Bias

Posted: 15 Nov 2007

See all articles by Costas Siriopoulos

Costas Siriopoulos

Zayed University, College of Business; University of Patras - Business Administration

Dionysis Antonios Lalountas

University of Patras

Abstract

This note provides some evidence of the sensitivity of firm survival duration dependence to time aggregation, when durations are Weibull distributed. The results indicate that estimates of duration dependence are always positively biased: This bias increases with the width of time aggregation window and decreases with the length of expected durations. On the other hand time aggregation does not seem to have drastic effect on the regression parameter estimates. These results are unaffected by the time aggregation mechanism.

Keywords: firm survival, time aggregation

JEL Classification: G33, C43, C41

Suggested Citation

Siriopoulos, Costas and Lalountas, Dionysis Antonios, Firm Survival and Time Aggregation Bias. Applied Financial Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1030201

Costas Siriopoulos

Zayed University, College of Business ( email )

P.O. Box 144534
Abu Dhabi
United Arab Emirates

University of Patras - Business Administration ( email )

Patras
Greece

Dionysis Antonios Lalountas (Contact Author)

University of Patras ( email )

Patras
Greece

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