We present a structural model of firm growth, learning, and survival and
consider its identification and estimation. In the model, entrepreneurs
have private and possibly error-ridden observations of persistent and
transitory shocks to profit. We demonstrate that the model's parameters
can be recovered from public observations of sales and survival, and we
estimate them using monthly data from new bars in Texas. We find that
entrepreneurs observe profit's persistent component without error. In
this sense, their information is substantially superior to the public's.