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Firm survival and time aggregation bias

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  • Costas Siriopoulos
  • Dionysis Antonios Lalountas

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.

Suggested Citation

  • Costas Siriopoulos & Dionysis Antonios Lalountas, 2008. "Firm survival and time aggregation bias," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(5), pages 351-354.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:351-354
    DOI: 10.1080/17446540701720691
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