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

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Author Info
Badi H. Baltagi ()
Georges Bresson
Alain Pirotte

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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

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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 29 (2004)
Issue (Month): 1 (January)
Pages: 107-113
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Handle: RePEc:spr:empeco:v:29:y:2004:i:1:p:107-113

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Related research
Keywords: Panel data; empirical Bayes; hierarchical Bayes; Gibbs sampling; q investment model;

Cited by:
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  1. Massimiliano Mazzanti & Antonio Musolesi & Roberto Zoboli, 2006. "A Bayesian Approach to the Estimation of Environmental Kuznets Curves for CO2 Emissions," Working Papers 2006.121, Fondazione Eni Enrico Mattei. [Downloadable!]
  2. Herbert Brücker & Boriss Siliverstovs, 2005. "On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?," IZA Discussion Papers 1710, Institute for the Study of Labor (IZA). [Downloadable!]
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  3. Andrea Vaona & Guido Ascari, 2007. "Regional Inflation Persistence: Evidence from Italy," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0807, Biblioteca universitaria di Lugano (University Library of Lugano). [Downloadable!]
  4. G. Bresson & J.L. Madre & A. Pirotte, 2004. "Is urban sprawl stimulated by economic growth ? A hierarchical Bayes estimation on the largest metropolitan areas in France," Working Papers ERMES 0404, ERMES, University Paris 2. [Downloadable!]
  5. Konstantin A. Kholodilin & Boriss Siliverstovs & Stefan Kooths, 2007. "A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder," Discussion Papers of DIW Berlin 664, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  6. G. Bresson & K. Logossah, 2003. "Hétérogénéité de l'offre et de la demande touristiques des communes de la Martinique : une estimation non paramétrique sur données de panel," Working Papers ERMES 0310, ERMES, University Paris 2. [Downloadable!]
  7. Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    Other versions:
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