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


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