Imperial College London
Alternate

ProfessorRustamIbragimov

Business School

Professor of Finance and Econometrics
 
 
 
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Contact

 

+44 (0)20 7594 9344i.rustam Website CV

 
 
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Location

 

40953 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Ibragimov:2014:10.1016/j.jeconom.2014.02.005,
author = {Ibragimov, R},
doi = {10.1016/j.jeconom.2014.02.005},
journal = {Journal of Econometrics},
pages = {25--33},
title = {On the robustness of location estimators in models of firm growth under heavy-tailedness},
url = {http://dx.doi.org/10.1016/j.jeconom.2014.02.005},
volume = {181},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - Focusing on the model of demand-driven innovation and spatial competition over time in Jovanovic and Rob (1987), we study the effects of the robustness of estimators employed by firms to make inferences about their markets on the firms’ growth patterns. We show that if consumers’ signals in the model are moderately heavy-tailed and the firms use the sample mean of the signals to estimate the ideal product, then the firms’ output levels exhibit positive persistence. In such a setting, large firms have an advantage over their smaller counterparts. These properties are reversed for signals with extremely heavy-tailed distributions. In such a case, the model implies anti-persistence in output levels, together with a surprising pattern of oscillations in firm sizes, with smaller firms being likely to become larger ones next period, and vice versa. We further show that the implications of the model under moderate heavy-tailedness continue to hold under the only assumption of symmetry of consumers’ signals if the firms use a more robust estimator of the ideal product, the sample median.
AU  - Ibragimov,R
DO  - 10.1016/j.jeconom.2014.02.005
EP  - 33
PY  - 2014///
SN  - 0304-4076
SP  - 25
TI  - On the robustness of location estimators in models of firm growth under heavy-tailedness
T2  - Journal of Econometrics
UR  - http://dx.doi.org/10.1016/j.jeconom.2014.02.005
UR  - http://hdl.handle.net/10044/1/67734
VL  - 181
ER  -
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