GrunfeldGreene {systemfit}

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 https://web.archive.org/web/20170426034143/http://web.stanford.edu/~clint/bench/grunfeld.htm for details). However, we provide this incorrect version to replicate the results published in Theil (1971) and Greene (2003). A correct version of this data set with 5 additional firms is available in the Ecdat package (data set Grunfeld).

Source

Greene (2003), Appendix F, Data Sets Used in Applications, Table F13.1. https://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm (a subset of this data set is available in Theil (1971), p. 296).

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 The Determinants of Corporate Investment, Unpublished Ph.D. Dissertation, University of Chicago.

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

Examples

## Repeating the OLS and SUR estimations in Greene (2003, pp. 351)
data( "GrunfeldGreene" )
if( requireNamespace( 'plm', quietly = TRUE ) ) {
library( "plm" )
GGPanel <- pdata.frame( GrunfeldGreene, c( "firm", "year" ) )
formulaGrunfeld <- invest ~ value + capital
# OLS
greeneOls <- systemfit( formulaGrunfeld, "OLS",
   data = GGPanel )
summary( greeneOls )
sapply( greeneOls$eq, function(x){return(summary(x)$ssr/20)} ) # sigma^2
# OLS Pooled
greeneOlsPooled <- systemfit( formulaGrunfeld, "OLS",
   data = GGPanel, pooled = TRUE )
summary( greeneOlsPooled )
sum( sapply( greeneOlsPooled$eq, function(x){return(summary(x)$ssr)}) )/97 # sigma^2
# SUR
greeneSur <- systemfit( formulaGrunfeld, "SUR",
   data = GGPanel, methodResidCov = "noDfCor" )
summary( greeneSur )
# SUR Pooled
greeneSurPooled <- systemfit( formulaGrunfeld, "SUR",
   data = GGPanel, pooled = TRUE, methodResidCov = "noDfCor",
   residCovWeighted = TRUE )
summary( greeneSurPooled )

## Repeating the OLS and SUR estimations in Theil (1971, pp. 295, 300)
GrunfeldTheil <- subset( GrunfeldGreene,
   firm %in% c( "General Electric", "Westinghouse" ) )
GTPanel <- pdata.frame( GrunfeldTheil, c( "firm", "year" ) )
formulaGrunfeld <- invest ~ value + capital
# OLS
theilOls <- systemfit( formulaGrunfeld, "OLS",
   data = GTPanel )
summary( theilOls )
# SUR
theilSur <- systemfit( formulaGrunfeld, "SUR",
   data = GTPanel, methodResidCov = "noDfCor" )
summary( theilSur )
}