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

Janz, Norbert

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URN: urn:nbn:de:bsz:180-madoc-7061
Document Type: Working paper
Year of publication: 1997
The title of a journal, publication series: None
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C23 D92 ,
Subject headings (SWD): Deutschland , Schätzfunktion , Investition , Verhalten
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.
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