GrunfeldTheil           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 _i_n _T_h_e_i_l (_1_9_7_1)

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

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

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

        data("GrunfeldTheil")

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

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

     _y_e_a_r year.

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

     Theil (1971), p. 296.

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

     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     Unpublished Ph.D. Dissertation, University of Chicago.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.

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

     ## 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 )

