## ---------------------------------------------------------------------------- ## Griffiths, Hill, Judge (1993) -> Vinod and Ullah (1981) -> (Maddala (1977)) / Boot and De Wit (1960) ## ## data ## availability: printed ## firms: General Motors, US Steel, General Electric, Chrysler, Atlantic Refining, ## IBM, Union Oil, Westinghouse, Goodyear, Diamond Match ## errors: invest_AR,1953 = 81.90 (Atlantic Refining) ## capital_US,1946 = 232.6 (US Steel) ## invest_US,1952 = 645.2 (US Steel) ## call Atlantic Refining Atlantic Richfield ## ## analysis ## result: exact at precision given ## ---------------------------------------------------------------------------- ## preliminaries source("start.R") ## Table 17.2 (firms unlabeled) ## data pre-processing gr <- subset(Grunfeld, firm %in% c("General Electric", "Westinghouse")) gr$firm <- factor(gr$firm) pgr <- plm.data(gr, c("firm", "year")) ## model fitting sf_ols <- systemfit(invest ~ value + capital, data = pgr, method = "OLS") sf_sur <- systemfit(invest ~ value + capital, data = pgr, method = "SUR", control = systemfit.control(methodResidCov = "noDfCor")) summary(sf_ols) summary(sf_sur) ## Table 17B.2 (firms unlabeled) ## data pre-processing gr <- subset(Grunfeld, firm %in% c("General Motors", "US Steel", "General Electric", "Chrysler", "Atlantic Refining", "IBM", "Union Oil", "Westinghouse", "Goodyear", "Diamond Match")) gr$firm <- factor(gr$firm) gr$invest[c(19, 158)] <- c(81.90, 645.2) gr$capital[152] <- 232.6 pgr <- plm.data(gr, c("firm", "year")) ## model fitting lm_within <- lm(invest ~ 0 + firm + value + capital, data = gr) summary(lm_within)