Edward Greenberg and Robert P. Parks, "A Predictive Approach to Model Selection and Multicollinearity", Journal of Applied Econometrics, Vol. 12, No. 1, 1997, pp. 67-76. The data are in one file, gp.dat, which has been zipped into gp-data.zip. The data file is in DOS format, so Unix users should use "unzip -a". 17278 gp-data.zip 73144 gp.dat The data file is fixed column, space delimited, 165 columns wide. Variable definitions and discussion can be found in: Steven M. Fazzari, R. Glenn Hubbard, and Bruce C. Petersen. "Financing constraints and corporate investment." Brookings Papers on Economic Activity, 206, 1988. This is a sample of 443 observations, consisting of 37 to 48 firms over 10 years (hence it is not a blanced panel). ALL variables are standardized to mean zero. The variables in order are: YEAR = 'Year' TIC = 'Ticker Symbol' CAP_KR1 = 'Capital ratio, Investment/Captial' QX1 = 'Tobin Q' CF_KR1 = 'Cash flow ratio, CashFlow/Capital' S_KR1 = 'Sales ratio, Sales/Capital' S1_KR1 = 'Sales ration lagged one period' DUM71 = 'Dummy variable for 1971' DUM72 = 'Dummy variable for 1972' DUM73 = 'Dummy variable for 1973' DUM74 = 'Dummy variable for 1974' DUM75 = 'Dummy variable for 1975' DUM76 = 'Dummy variable for 1976' DUM77 = 'Dummy variable for 1977' DUM78 = 'Dummy variable for 1978' DUM79 = 'Dummy variable for 1979'; The following SAS statements will read the data Data rg1; Infile 'jaedata.dat'; Length TIC $5; Input YEAR TIC CAP_KR1 QX1 CF_KR1 S_KR1 S1_KR1 DUM71 DUM72 DUM73 DUM74 DUM75 DUM76 DUM77 DUM78 DUM79; Label YEAR = 'Year' TIC = 'Ticker Symbol' CAP_KR1 = 'Capital ratio, Investment/Captial' QX1 = 'Tobin Q' CF_KR1 = 'Cash flow ratio, CashFlow/Capital' S_KR1 = 'Sales ratio, Sales/Capital' S1_KR1 = 'Sales ration lagged one period' DUM71 = 'Dummy variable for 1971' DUM72 = 'Dummy variable for 1972' DUM73 = 'Dummy variable for 1973' DUM74 = 'Dummy variable for 1974' DUM75 = 'Dummy variable for 1975' DUM76 = 'Dummy variable for 1976' DUM77 = 'Dummy variable for 1977' DUM78 = 'Dummy variable for 1978' DUM79 = 'Dummy variable for 1979'; Run; SAS output from Proc Means Variable Label N Mean Std Dev ------------------------------------------------------------------------------ YEAR Year 443 74.7178330 2.8331143 CAP_KR1 Capital ratio, Investment/Captial 443 1.805869E-11 0.1748545 QX1 Tobin Q 443 1.3544E-11 11.1212769 CF_KR1 Cash flow ratio, CashFlow/Capital 443 3.160271E-11 0.2090275 S_KR1 Sales ratio, Sales/Capital 443 2.483071E-11 1.7773629 S1_KR1 Sales ration lagged one period 443 2.257327E-12 1.3989087 DUM71 Dummy variable for 1971 443 1.1286682E-7 0.2850714 DUM72 Dummy variable for 1972 443 1.3544018E-7 0.2919870 DUM73 Dummy variable for 1973 443 2.2573363E-8 0.2950762 DUM74 Dummy variable for 1974 443 4.5146727E-8 0.2984644 DUM75 Dummy variable for 1975 443 -2.257336E-8 0.3042618 DUM76 Dummy variable for 1976 443 6.265367E-20 0.3102952 DUM77 Dummy variable for 1977 443 5.701484E-18 0.3102952 DUM78 Dummy variable for 1978 443 7.612421E-18 0.3102952 DUM79 Dummy variable for 1979 443 6.766596E-18 0.3070887 ------------------------------------------------------------------------------ Variable Label N Minimum Maximum ---------------------------------------------------------------------------- YEAR Year 443 70.0000000 79.0000000 CAP_KR1 Capital ratio, Investment/Captial 443 -0.4534130 1.4024914 QX1 Tobin Q 443 -32.1024250 120.8951640 CF_KR1 Cash flow ratio, CashFlow/Capital 443 -1.6468540 1.4802780 S_KR1 Sales ratio, Sales/Capital 443 -6.3551496 12.3123079 S1_KR1 Sales ration lagged one period 443 -8.4679826 7.9095961 DUM71 Dummy variable for 1971 443 -0.1250000 0.9000000 DUM72 Dummy variable for 1972 443 -0.1250000 0.9000000 DUM73 Dummy variable for 1973 443 -0.1666700 0.9000000 DUM74 Dummy variable for 1974 443 -0.1666700 0.9000000 DUM75 Dummy variable for 1975 443 -0.2000000 0.9000000 DUM76 Dummy variable for 1976 443 -0.2500000 0.9000000 DUM77 Dummy variable for 1977 443 -0.2500000 0.9000000 DUM78 Dummy variable for 1978 443 -0.2500000 0.9000000 DUM79 Dummy variable for 1979 443 -0.2500000 0.9000000 ----------------------------------------------------------------------------