Investment Data

Grunfeld's Investment Data

This data set is used in Greene [2000, Chapter 15]. The data set is also analyzed in other research and textbooks. The data consists of 20 annual observations (from 1935 to 1954) for 5 firms (General Motors, Chrysler, General Electric, Westinghouse and U.S. Steel). The variables are:

  1. I - gross investment
  2. F - market value of the firm at the end of the previous year
  3. C - capital stock measure (value of the stock of plant and equipment at the end of the previous year).

The data set is compiled in 3 data files as follows.

The file (filename: FIRM1.txt) contains investment data for General Motors and Chrysler.

Year    Igm     Fgm      Cgm        Ic      Fc     Cc
1935   317.6   3078.5    2.80     40.29   417.5   10.5 
1936   391.8   4661.7   52.60     72.76   837.8   10.2     
1937   410.6   5387.1   156.9     66.26   883.9   34.7     
1938   257.7   2792.2   209.2     51.60   437.9   51.8     
1939   330.8   4313.2   203.4     52.41   679.7   64.3     
1940   461.2   4643.9   207.2     69.41   727.8   67.1     
1941   512.0   4551.2   255.2     68.35   643.6   75.2     
1942   448.0   3244.1   303.7     46.80   410.9   71.4     
1943   499.6   4053.7   264.1     47.40   588.4   67.1     
1944   547.5   4379.3   201.6     59.57   698.4   60.5     
1945   561.2   4840.9   265.0     88.78   846.4   54.6     
1946   688.1   4900.9   402.2     74.12   893.8   84.8     
1947   568.9   3526.5   761.5     62.68   579.0   96.8     
1948   529.2   3254.7   922.4     89.36   694.6  110.2     
1949   555.1   3700.2  1020.1     78.98   590.3  147.4     
1950   642.9   3755.6  1099.0    100.66   693.5  163.2    
1951   755.9   4833.0  1207.7    160.62   809.0  203.5    
1952   891.2   4924.9  1430.5    145.00   727.0  290.6    
1953  1304.4   6241.7  1777.3    174.93  1001.5  346.1    
1954  1486.7   5593.6  2226.3    172.49   703.2  414.9

The file (filename: FIRM2.txt) contains investment data for General Electric and Westinghouse.

Year     Ige     Fge     Cge       Iw      Fw       Cw
1935    33.1   1170.6    97.8     12.93   191.5     1.8    
1936    45.0   2015.8   104.4     25.90   516.0      .8    
1937    77.2   2803.3   118.0     35.05   729.0     7.4    
1938    44.6   2039.7   156.2     22.89   560.4    18.1    
1939    48.1   2256.2   172.6     18.84   519.9    23.5    
1940    74.4   2132.2   186.6     28.57   628.5    26.5    
1941   113.0   1834.1   220.9     48.51   537.1    36.2    
1942    91.9   1588.0   287.8     43.34   561.2    60.8    
1943    61.3   1749.4   319.9     37.02   617.2    84.4    
1944    56.8   1687.2   321.3     37.81   626.7    91.2    
1945    93.6   2007.7   319.6     39.27   737.2    92.4    
1946   159.9   2208.3   346.0     53.46   760.5    86.0    
1947   147.2   1656.7   456.4     55.56   581.4   111.1    
1947   146.3   1604.4   543.4     49.56   662.3   130.6    
1949    98.3   1431.8   618.3     32.04   583.8   141.8    
1950    93.5   1610.5   647.4     32.24   635.2   136.7    
1951   135.2   1819.4   671.3     54.38   723.8   129.7    
1952   157.3   2079.7   726.1     71.78   864.1   145.5    
1953   179.5   2371.6   800.3     90.08  1193.5   174.8    
1954   189.6   2759.9   888.9     68.60  1188.9   213.5

The file (filename: FIRM3.txt) contains investment data for U.S. Steel.

Year      Ius     Fus     Cus       
1935    209.9   1362.4    53.8    
1936    355.3   1807.1    50.5    
1937    469.9   2676.3   118.1    
1938    262.3   1801.9   260.2    
1939    230.4   1957.3   312.7    
1940    261.6   2202.9   254.2    
1941    472.8   2380.5   261.4    
1942    445.6   2168.6   298.7    
1943    361.6   1985.1   301.8    
1944    288.2   1813.9   279.1    
1945    258.7   1850.2   213.8    
1946    420.3   2067.7   232.6    
1947    420.5   1796.7   264.8    
1948    494.5   1625.8   306.9    
1949    405.1   1667.0   351.1    
1950    418.8   1677.4   357.8    
1951    588.2   2289.5   342.1    
1952    645.2   2159.4   444.2    
1953    641.0   2031.3   623.6    
1954    459.3   2115.5   669.7

Other References for the Investment Data Set

The original study on investment demand by Grunfeld [1958 Ph.D. thesis, University of Chicago] and Grunfeld and Griliches [1960, Review of Economics and Statistics, pp. 1-13] used 10 firms. The data set with the 10 firms is available in:

  • William E. Griffiths, R. Carter Hill and George G. Judge, Learning and Practicing Econometrics 1993, Wiley, [Table 17B.1, pp. 572-573].
  • R. Carter Hill, William E. Griffiths and George G. Judge, Undergraduate Econometrics, 1997, Wiley, [Table 12.2, pp. 271-272]
  • H.D. Vinod and Aman Ullah, Recent Advances in Regression Methods, 1981, Marcel Dekker, pp. 259-261.

This data set is also analyzed in:

  • Damodar N. Gujarati, Basic Econometrics, Third Edition, 1995, McGraw-Hill, [1995, pp. 522-525].

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