Using the Grunfeld investment equation in (2.40), (a) Replicate Table 5.5 using the AR(1) estimation with common
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Using the Grunfeld investment equation in (2.40),
(a) Replicate Table 5.5 using the AR(1) estimation with common \(ho\) and heteroskedastic variances.
(b) Replicate Table 5.6 using the \(\operatorname{AR}(1)\) estimation with varying \(ho_{i}\) and heteroskedastic variances across firms.
(c) Replicate Table 5.7 using the \(\operatorname{AR}(1)\) estimation with varying \(ho_{i}\), heteroskedastic variances, and cross-firm dependence in the variance-covariance matrix. Compare with the error component estimates obtained in Table 2.1.
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