## ---------------------------------------------------------------------------- ## Griliches and Wallace (1965) -> Grunfeld (1958) ## ## data ## availability: none ## firms: Chrysler, Goodyear, Atlantic Refining, Westinghouse, Union Oil, General Motors ## note: "Only six of the original eleven firms are used in this study, because we did not ## succeed in reproducing and extending the original set of data for the others." (p. 313, fn. 8) ## ## analysis ## result: GM cannot be reproduced. (see also Grunfeld, 1958) ## Small deviations for aggregate, possibly due to problems with GM. ## G&W construct alternative model based on further variables and ## evaluate models in 1955-1960 post-sample period ## ---------------------------------------------------------------------------- ## preliminaries source("start.R") ## data pre-processing gr <- subset(Grunfeld, firm %in% c("Chrysler", "Goodyear", "Atlantic Refining", "Westinghouse", "Union Oil", "General Motors")) gr$firm <- factor(gr$firm) pgr <- plm.data(gr, c("firm", "year")) ## Grunfeld model (Table 1, p. 314) ## p. 313: "Table 1 reproduces Grunfeld's original estimates" sf <- systemfit(invest ~ value + capital, method = "OLS", data = pgr) gsummary(sf, sigma2 = FALSE) ## alternatively: lm_CH <- lm(invest ~ capital + value, data = gr, subset = firm == "Chrysler") lm_GY <- lm(invest ~ capital + value, data = gr, subset = firm == "Goodyear") lm_AR <- lm(invest ~ capital + value, data = gr, subset = firm == "Atlantic Refining") lm_WH <- lm(invest ~ capital + value, data = gr, subset = firm == "Westinghouse") lm_UO <- lm(invest ~ capital + value, data = gr, subset = firm == "Union Oil") lm_GM <- lm(invest ~ capital + value, data = gr, subset = firm == "General Motors") ## aggregate regression gr_macro <- aggregate(gr[,-4], list(gr$year), sum)[,-1] lm_macro <- lm(invest ~ capital + value, data = gr_macro) gsummary(lm_macro, sigma2 = FALSE)