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Title:Robust GMM Estimation of an Euler Equation Investment Model with German Firm Level Panel Data PDF Logo
Authors:Janz, Norbert
Issue Date:1997
Series/Report no.:ZEW Discussion Papers 97-05
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.
Subjects:Business Fixed Investment
Euler Equation Models
Panel Data Analysis
Robust Estimation
Generalized Method of Moments
Document Type:Working Paper
Appears in Collections:ZEW Discussion Papers, Zentrum für Europäische Wirtschaftsforschung (ZEW)
Publikationen von Forscherinnen und Forschern des Zentrums für Europäische Wirtschaftsforschung (ZEW)

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