Grunfeld Data as published in Theil (1971)

Description

Panel data on 2 US firms for the years 1935-1954.

Usage

   data("GrunfeldTheil")

Format

A data frame containing 20 annual observations on 3 variables for 2 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 Electric" or "Westinghouse").

year

year.

Source

Theil (1971), p. 296.

References

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 The Determinants of Corporate Investment, Unpublished Ph.D. Dissertation, University of Chicago.

Theil, Henri (1971). Principles of Econometrics, John Wiley & Sons, New York.

Examples

## Repeating the OLS and SUR estimations in Theil (1971, pp. 295, 300)
data( "GrunfeldTheil" )
formulaGrunfeld <- invest ~ value + capital
# OLS
theilOls <- systemfitClassic( "OLS", formulaGrunfeld, "firm", "year",
   data = GrunfeldTheil )
summary( theilOls )
# SUR
theilSur <- systemfitClassic( "SUR", formulaGrunfeld, "firm", "year",
   data = GrunfeldTheil, rcovformula = 0 )
summary( theilSur )