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A semiparametric method for predicting bankruptcy

✍ Scribed by Ruey-Ching Hwang; K. F. Cheng; Jack C. Lee

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
699 KB
Volume
26
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

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 © 2007 John Wiley & Sons, Ltd.

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