GrunfeldGreene           package:systemfit           R Documentation

_G_r_u_n_f_e_l_d _D_a_t_a _a_s _p_u_b_l_i_s_h_e_d _b_y _G_r_e_e_n_e (_2_0_0_3)

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

        data("GrunfeldGreene")

_F_o_r_m_a_t:

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

     _i_n_v_e_s_t gross investment.

     _v_a_l_u_e market value of the firm (at the end of the previous year).

     _c_a_p_i_t_a_l capital stock of the firm (at the end of the previous
          year).

     _f_i_r_m name of the firm ("General Motors", "Chrysler", "General
          Electric", "Westinghouse" or "US Steel").

     _y_e_a_r year.

_D_e_t_a_i_l_s:

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

_S_o_u_r_c_e:

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

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

_R_e_f_e_r_e_n_c_e_s:

     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     Unpublished Ph.D. Dissertation, University of Chicago.

_E_x_a_m_p_l_e_s:

     ## 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 )

