Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - In: Empirical Economics 29 (2004) 1, pp. 107-113
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....