By R. F. Wynn, K. Holden (auth.)
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Extra info for An Introduction to Applied Econometric Analysis
The theory of investment outlined above refers to corporate behaviour and so the variables are defined for companies where possible. For the period considered, companies were responsible for about 40 per cent of investment, the remainder being attributed to the government and personal sectors. The measures of investment, capital and liquidity are deflated by a price index of fixed assets which includes the price of non-company capital formation goods such as housing, so that the resulting measures in 1963 prices are likely to be biased away from the true values.
Additional assumptions are still required in order to determine the weights. One simple scheme proposed by Koyck (1954) has the useful property of allowing all past values of the variables to have some effect and yet only requires one unknown parameter. Since recent values of desired capital stock 29 Investment are likely to have a more important effect than past values, Koyck proposed that the weights should decline geometrically. That is, each weight is a constant proportion, A, of the previous weight and Wo = 1 - A, WI = (I - A)A, W2 = (1 - A)A2, so that in general WI If 0 = (1 - A)AI for i = 0, 1, ...
Jorgenson and Siebert, p. 698, quote in detail the results for General Motors. eU(N - K') is the estimate of the residual variance, el are the observed residuals, N the number of observations and K' the number of parameters estimated. Using the restriction U1 = 1 + VI the estimates of ~he weights are VI = - 0·4780 and til = 0·5220 so that P= 0·1276. Also, ~ = 0·1878. The best estimated equation for the liquidity theory is It = 0·2345 + 0·3032(L t - L t - 1) (0·2710) + 0·3989(/t_1 (0·2279) R2 ~Kt-2) + + 0·4941(L t _ 1 - L t - 2 ) (0·2743) 0·1712Kt _ 1 (0·0620) = 0·61, d = 2·29, S = 0·2037.
An Introduction to Applied Econometric Analysis by R. F. Wynn, K. Holden (auth.)