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

Norbert Janz ()

No 97-05, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

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.

Keywords: Business Fixed Investment; Euler Equation Models; Panel Data Analysis; Robust Estimation; Generalized Method of Moments (search for similar items in EconPapers)
JEL-codes: C32 D92 (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:5114

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