Robust GMM Estimation of an Euler Equation Investment Model with German Firm Level Panel Data
AbstractIn 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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Bibliographic InfoPaper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 97-05.
Date of creation: 1997
Date of revision:
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 - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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