Tobin q: Forecast performance for hierarchical Bayes, shrinkage, heterogeneous and homogeneous panel data estimators

Badi Baltagi, Georges Bresson and Alain Pirotte

Empirical Economics, 2004, vol. 29, issue 1, 107-113

Abstract: This paper reconsiders the Tobin q investment model studied by Hsiao et al. (1999) using a panel of 337 U.S. firms over the period 1982–1998. It contrasts the out-of-sample forecasts performance of hierarchical Bayes, shrinkage, as well as heterogeneous and homogeneous panel data estimators. Copyright Springer-Verlag 2004

Keywords: Panel data; empirical Bayes; hierarchical Bayes; Gibbs sampling; q investment model (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s00181-003-0195-z

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