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Abstract

This paper revisits Grunfeld's well-known investment data, one of the most widely used datasets in all of applied econometrics, on the occasion of their 50th anniversary. It presents, apparently for the first time after the publication of the original Chicago Ph.D. thesis, the full dataset, points out errors and inconsistencies in several currently available versions, and also revisits a number of empirical studies from the literature of the last five decades. Our findings provide a cautionary tale on the use of widely known data and underline the need for mandatory data and code archives. Copyright 2010 The Author. German Economic Review 2010 Verein für Socialpolitik.

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Article provided by Verein für Socialpolitik in its journal German Economic Review.

Volume (Year): 11 (2010)
Issue (Month): (November)
Pages: 404-417

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Handle: RePEc:bla:germec:v:11:y:2010:i::p:404-417

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• C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
• C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
• C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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8. Kleiber, Christian & Zeileis, Achim, 2004. "Validating multiple structural change models : A case study," Technical Reports 2004,34, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
   
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9. B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, vol. 93(3), pages 873-892, June.
10. Kate L. Antonovics & Arthur S. Goldberger, 2005. "Does Increasing Women's Schooling Raise the Schooling of the Next Generation? Comment," American Economic Review, American Economic Association, vol. 95(5), pages 1738-1744, December.
11. Achim Zeileis, . "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, American Statistical Association, vol. 16(i09).
12. B.D. McCullough & Kerry Anne McGeary & Teresa D. Harrison, 2008. "Do economics journal archives promote replicable research?," Canadian Journal of Economics, Canadian Economics Association, vol. 41(4), pages 1406-1420, November.
13. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March.
    
    • Tom Doan, . "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.

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