Multivariate partial adjustment of financial ratios: a Bayesian hierarchical approach
提出财务比率部分调整模型的多元扩展，使用动态因子模型和三层贝叶斯分层方法，分析企业财务比率的共同演化与调整系数差异，适用于研究企业财务结构。
Abstract In this paper we propose a multivariate extension of the partial adjustment model of financial ratios. To that end, we use a dynamic factor model which assumes that financial ratios measuring, essentially, the same economic–financial dimension of the firm evolve in a similar way, reflecting the evolution of the common factor. The proposed model is hierarchical with three levels. The first describes the relationship between each ratio and its common factor; the second describes the evolution of the common factors over time by means of Lev's ( 1969 ) partial adjustment model; and the third analyzes the similarity of firms' adjustment coefficients, taking into account their characteristics. The methodology is applied to the analysis of a set of financial ratios related to the business and financial structure of the firm. Copyright © 2008 John Wiley & Sons, Ltd.