Micro Data use to understand aggregate macroeconomic relationships is increasing after critique by micro-economists on the census data sets, especially after the recent Global Financial Crisis. ln Pakistan, work on investment was done using Census of Manufacturing Industries (CMI) Data. In this study of investment function, relationship is tested with micro Balance Sheet data. Data was constructed for this purpose of non-financial registered firms in Karachi Stock Exchange (KSE) from 1988 to 2011 of 323 consistent firms. Empirical work is done by using Panel data estimation approaches. Different investment theories are tested through a nested approach. Empirical results in Pakistan do match with established theories of investment. lnvestment relationship is established by using Jorgenson neo-classical model, accelerator theory based on sales. Tobin‘s q-ratio theory, capacity utilization theory, and financial constraints theories. It is found that cash flow, q-ratio, firm size, and taxes are statistically significant. Marco variables like GDP, exchange rate, and average lending rate affect investment in Pakistan