Robust GMM estimation of an Euler equation investment model with German firm level panel data

by Norbert Janz (Center for European Economic Research (ZEW), Mannheim, Institute of Statistics and Econometrics (University of Kiel)

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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Year of publication:	March 13, 1997
Authors:	Janz, Norbert
Publisher:	Mannheim : ZEW
Subject:	Business Fixed Investment \| Euler Equation Models \| Panel Data Analysis \| Robust Estimation \| Generalized Method of Moments \| Mikroökonomik \| Microeconomics \| Schätzung \| Estimation \| Theorie \| Theory \| Deutschland \| Germany \| Investition \| Investment \| Mikroökonomie \| Modell

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Erscheint auch als (Druck-Ausgabe):

Janz, Norbert *1966-*. Robust GMM estimation of an Euler equation investment model with German firm level panel data. - Mannheim : ZEW, 1997. - 15 S.

Persistent link: https://www.econbiz.de/10011440610