Corporate investment, market value, and capital stock for 10 large U.S. firms observed annually over 1935–1954: a balanced panel of 10 firms times 20 years (200 observations). Grunfeld, Y. (1958). The Determinants of Corporate Investment. PhD dissertation, University of Chicago. See Kleiber, C. and Zeileis, A. (2010) for the definitive account of the dataset's provenance and its many circulating variants.
Format
A data frame with 200 observations and 6 variables (10 firms times 20 years, 1935–1954):
- company
Firm identifier (1–10). Use as
ivar.- year
Calendar year (1935–1954). The time variable: use as
tvar.- invest
Gross investment, current year.
- mvalue
Market value of the firm, prior year.
- kstock
Capital stock, prior year.
- time
Time index (1–20), a linear trend.
Source
Grunfeld, Y. (1958). The Determinants of Corporate Investment. PhD dissertation, University of Chicago.
Kleiber, C. and Zeileis, A. (2010). The Grunfeld data at 50. German Economic Review, 11(4), 404–417.
Distributed via Stata's webuse grunfeld.
Redistribution basis: system.file("COPYRIGHTS", package = "ivreg2r").
Examples
data(grunfeld)
# ivreg2 help file line 1595: Driscoll-Kraay standard errors (bw = 2),
# small-sample correction
fit <- ivreg2(
invest ~ mvalue + kstock, data = grunfeld,
dkraay = 2, small = TRUE, tvar = "year", ivar = "company"
)
summary(fit)
#>
#> OLS Estimation
#>
#> Call:
#> ivreg2(formula = invest ~ mvalue + kstock, data = grunfeld, small = TRUE,
#> tvar = "year", ivar = "company", dkraay = 2)
#>
#> Observations: 200
#> VCV type: Driscoll-Kraay (kernel=Bartlett; bandwidth=2), small-sample corrected
#> Clusters: 20 (year)
#>
#> Coefficients:
#> Estimate Std. Error t value Pr(>|t|)
#> (Intercept) -42.71437 12.22308 -3.495 0.00243 **
#> mvalue 0.11556 0.01024 11.289 7.22e-10 ***
#> kstock 0.23068 0.04670 4.940 9.10e-05 ***
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#> ---
#> R-squared: 0.8124
#> Adj. R-squared: 0.8105
#> F(2, 19): 118.8 (p = 0.0000)
#> Root MSE: 94.4084
#>