Firm survival and time aggregation bias

Costas Siriopoulos and Dionysis Antonios Lalountas

Applied Financial Economics Letters, 2008, vol. 4, issue 5, pages 351-354

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.

Date: 2008
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