標題: | A semiparametric method for predicting bankruptcy |
作者: | Hwang, Ruey-Ching Cheng, K. F. Lee, Jack C. 管理科學系 資訊管理與財務金融系 註:原資管所+財金所 Department of Management Science Department of Information Management and Finance |
關鍵字: | linear logit model;out-of-sample error rate;semiparametric logit model |
公開日期: | 1-八月-2007 |
摘要: | Bankruptcy prediction methods based on a semiparametric logit model are proposed for simple random (prospective) and case-control (choice-based; retrospective) data. The unknown parameters and prediction probabilities in the model are estimated by the local likelihood approach, and the resulting estimators are analyzed through their asymptotic biases and variances. The semiparametric bankruptcy prediction methods using these two types of data are shown to be essentially equivalent. Thus our proposed prediction model can be directly applied to data sampled from the two important designs. One real data example and simulations confirm that our prediction method is more powerful than alternatives, in the sense of yielding smaller out-of-sample error rates. Copyright (C) 2007 John Wiley & Sons, Ltd. |
URI: | http://dx.doi.org/10.1002/for.1027 http://hdl.handle.net/11536/14320 |
ISSN: | 0277-6693 |
DOI: | 10.1002/for.1027 |
期刊: | JOURNAL OF FORECASTING |
Volume: | 26 |
Issue: | 5 |
起始頁: | 317 |
結束頁: | 342 |
顯示於類別: | 期刊論文 |