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Robust GMM Estimation of an Euler Equation Investment Model with German Firm Level Panel Data

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Author Info
Janz, Norbert

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Abstract

In this paper the outlier robust GMM panel data estimator recently proposed by Lucas, van Dijk, and Kloek (1994)is applied to an Euler equation model of firm investment behaviour with imperfectly competitive product markets for a small panel of German nonfinancial stock companies. Plots for checking distributional implications and the selection of tuning constants are provided. Whereas the estimation results from the usual GMM estimator would contradict the theory, the empirical results using the robust GMM estimator largely support it.

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File URL: http://hdl.handle.net/10419/24234
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Publisher Info
Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 97-05.

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Date of creation: 1997
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Handle: RePEc:zbw:zewdip:5114

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Related research
Keywords: Business Fixed Investment; Euler Equation Models; Panel Data Analysis; Robust Estimation; Generalized Method of Moments;

Find related papers by JEL classification:
D92 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Firm Choice and Growth, Investment, or Financing
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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  1. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Blackwell Publishing, vol. 58(2), pages 277-97, April. [Downloadable!] (restricted)
  2. Bond, Stephen & Meghir, Costas, 1994. "Dynamic Investment Models and the Firm's Financial Policy," Review of Economic Studies, Blackwell Publishing, vol. 61(2), pages 197-222, April. [Downloadable!] (restricted)
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  3. Schaller, Huntley, 1990. "A Re-examination of the Q Theory of Investment Using U.S. Firm Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 309-25, Oct.-Dec.. [Downloadable!] (restricted)
  4. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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