Statistical Modeling of Financial Data with Skew-Symmetric Error Distributions

Based on corporate financial data for almost all companies listed the Prime Market of Tokyo Stock Exchange in fiscal year 2021, we gradually refine a model to explain firms’ sales by number employees and total assets. Starting from Cobb–Douglas-type functional form linearized log transformation, assumption skew-symmetric distribution error structure introduction industry dummies are shown be useful not only searching good-fitting model, but also ensuring accuracy important parameters such as labor share. The helps improve well allow interpretation sector-wise factor productivity.