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

Badi H. Baltagi, Georges Bresson, Alain Pirotte

Research output: Contribution to journalArticle

19 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)107-113
Number of pages7
JournalEmpirical Economics
Volume29
Issue number1
DOIs
StatePublished - Jan 1 2004
Externally publishedYes

Keywords

  • Empirical Bayes
  • Gibbs sampling
  • Hierarchical bayes
  • Panel data
  • Q investment model

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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