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Systems of Regression Equations. Cross-Sectional Time Series of Investment Data Boot, J. and G. deWitt (1960). “Investment Demand: An Empirical Contribution to the Aggregation Problem,” International Economic Review , Vol. 1, pp. 3-30. Grunfeld’s Investment Data.
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Systems of Regression Equations Cross-Sectional Time Series of Investment Data Boot, J. and G. deWitt (1960). “Investment Demand: An Empirical Contribution to the Aggregation Problem,” International Economic Review, Vol. 1, pp. 3-30
Grunfeld’s Investment Data • Cross-Section: n=10 Firms (GM, US Steel, GE, Chrysler, Atlantic Refining, IBM, Union Oil, Westinghouse, Goodyear, Diamond Match) • Time Series: T=20 years per firm (1935-1954) • Dependent Variable: • Gross Investment (Y, in millions of 1947 $) • Independent Variables: • Value of Firm (X1, in millions of 1947 $) • Stock of Plant/Equipment (X2, in millions of 1947 $)
Firm Results - I Note: Gamma estimate does not Subtract off the average of the V matrices (not positive definite)
Firm Example - II Estimated GLS ML (Iterated GLS)