Robust GMM Estimation of an Euler Equation Investment Model with German Firm Level Panel Data

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ZEW Discussion Papers ; No. 97-05

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Business Fixed Investment ; Euler Equation Models ; Panel Data Analysis ; Robust Estimation ; Generalized Method of Moments ; Investition ; Mikroökonomik ; Schätzung ; Theorie ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Janz, Norbert
• Event: Veröffentlichung
• (who): Zentrum für Europäische Wirtschaftsforschung (ZEW)
• (where): Mannheim
• (when): 1997

Further information

• Handle: http://hdl.handle.net/10419/24234
• Last update: 10.03.2025, 11:44 AM CET