Grunfeld Data as published by Greene (2003)

Description

Panel data on 5 US firms for the years 1935-1954.

Usage

   data("GrunfeldGreene")

Format

A data frame containing 20 annual observations on 3 variables for 5 firms.

invest

gross investment.

value

market value of the firm (at the end of the previous year).

capital

capital stock of the firm (at the end of the previous year).

firm

name of the firm ("General Motors", "Chrysler", "General Electric", "Westinghouse" or "US Steel").

year

year.

Details

There exist several different versions of this data set, and this version is considered incorrect (see http://www.stanford.edu/~clint/bench/grunfeld.htm for details). However, we provide this incorrect version to replicated the results published in Greene (2003).

Source

Greene (2003), Appendix F, Data Sets Used in Applications, Table F13.1.

http://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm

References

Greene, W.H. (2003). Econometric Analysis, 5th edition. Prentice Hall, Upper Saddle River (NJ).

Grunfeld, Y. (1958). The Determinants of Corporate Investment, Unpublished Ph.D. Dissertation, University of Chicago.

Examples

## Repeating the OLS and SUR estimations in Greene (2003, pp. 351)
data( "GrunfeldGreene" )
formulaGrunfeld <- invest ~ value + capital
# OLS
greeneOls <- systemfitClassic( "OLS", formulaGrunfeld, "firm", "year",
   data = GrunfeldGreene )
summary( greeneOls )
sapply( greeneOls$eq, function(x){return(x$ssr/20)} ) # sigma^2
# OLS Pooled
greeneOlsPooled <- systemfitClassic( "OLS", formulaGrunfeld, "firm", "year",
   data = GrunfeldGreene, pooled = TRUE )
summary( greeneOlsPooled )
sum( sapply( greeneOlsPooled$eq, function(x){return(x$ssr)}) )/97 # sigma^2
# SUR
greeneSur <- systemfitClassic( "SUR", formulaGrunfeld, "firm", "year",
   data = GrunfeldGreene, rcovformula = 0 )
summary( greeneSur )
# SUR Pooled
greeneSurPooled <- systemfitClassic( "WSUR", formulaGrunfeld, "firm", "year",
   data = GrunfeldGreene, pooled = TRUE, rcovformula = 0 )
summary( greeneSurPooled )