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 language | English (US) |
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Pages (from-to) | 107-113 |
Number of pages | 7 |
Journal | Empirical Economics |
Volume | 29 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2004 |
Externally published | Yes |
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