TY  - JOUR
AU  - Abowd,John M.
AU  - Crepon,Bruno
AU  - Kramarz,Francis
AU  - Trognon,Alain
TI  - A La Recherche des Moments Perdus: Covariance Models for Unbalanced     Panels with Endogenous Death
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 180
PY  - 1995
Y2  - May 1995
UR  - http://www.nber.org/papers/t0180
L1  - http://www.nber.org/papers/t0180.pdf
N1  - Author contact info:
John M. Abowd
School of Industrial and Labor Relations
261 Ives Hall
Cornell University
Ithaca, NY 14853
Tel: 607/255-8024
Fax: 866/873-9078
E-Mail: John.Abowd@cornell.edu

Bruno Crepon
CREST
15, boulevard Gabriel Peri
92245 Malakoff Cedex
France
E-Mail: crepon@ensae.fr

Francis Kramarz
CREST-INSEE
15 blvd Gabriel Peri
Malakoff CEDEX, 92245
FRANCE
E-Mail: kramarz@ensae.fr
AB  - We develop a model for decomposing the covariance structure of panel data on firms into a part due to permanent heterogeneity, a part due to differential histories with unknown ages, and a part due to the evolution of economic shocks to the firm.  Our model allows for the endogenous death of firms and correctly handles the problems arising from the estimation of this death process.  We implement this model on an unbalanced longitudinal sample of French firms which have both known and unknown ages and histories.  For firms with unknown birthdates, we find that the structural autocorrelation in employment, compensation and capital is dominated by the part due to initial heterogeneity and random growth rates.  Serial correlation in the periodic shocks is less important.  For these firms, profitability, value-added and indebtedness have processes in which the heterogeneity components are less important.  Firms with known birthdates and histories (which are younger than the censored firms) have autocorrelation structures dominated by the heterogeneity.
ER  -