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The Grunfeld Data at 50

  • Christian Kleiber
  • Achim Zeileis

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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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0475.2010.00513.x
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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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  1. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March.
  2. Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann, 2001. "Tests for the error component model in the presence of local misspecification," Journal of Econometrics, Elsevier, vol. 101(1), pages 1-23, March.
  3. Yves Croissant & Giovanni Millo, . "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, vol. 27(i02).
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  6. McCullough, B. D. & McGeary, Kerry Anne & Harrison, Teresa D., 2006. "Lessons from the JMCB Archive," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 1093-1107, June.
  7. Christian Kleiber & Achim Zeileis, 2005. "Validating multiple structural change models-a case study," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 685-690.
  8. 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.
  9. 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.
  10. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
  11. 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.
  12. Achim Zeileis, . "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, American Statistical Association, vol. 16(i09).
  13. Richard Anderson & William Greene & B. D. McCullough & H. D. Vinod, 2008. "The role of data/code archives in the future of economic research," Journal of Economic Methodology, Taylor & Francis Journals, vol. 15(1), pages 99-119.
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