By Jones S., Hensher D.A. (eds.)
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Additional info for Advances in credit risk modelling and corporate bankruptcy prediction
Normal or triangular) as well as the possibility of correlation between pairs of explanatory variables. Note that since ﬂqk may be a state-specific constant (for JÀ 1 outcomes), qk may also 50 David A. Hensher and Stewart Jones vary across outcomes and, in addition, may induce correlation across outcomes. 6).
The predicted expenditure is substantially higher for those whose applications were denied. 7 gives the probit estimates of the default equation. 20). 4. 5. The single-equation unconditional model is given in the first three columns. The results agree with our conjecture that default rates might be related to expenditures, and the idea of cardholders ‘getting in over their heads’ comes to mind. 25) with the reestimated cardholder equation. 8. Maximum likelihood estimates for the conditional model are obtained by maximizing17 17 This is the same log-likelihood as maximized by Boyes et al.
A simple enough behavioural model which incorporates up-to-date information and behavioural characteristics might be of use in this situation. REFERENC ES Abowd, J. , ‘Job queues and the union status of workers’, Industrial and Labor Relations Review, 35, 1982, 354–67. Aldrich, J. , Linear Probability, Logit and Probit Models, Beverly Hills, CA, Sage, 1984. , Advanced Econometrics, Cambridge, MA, Harvard University Press, 1985. , ‘Estimation and inference in nonlinear structural models’, Annals of Economic and Social Measurement, 3/4, 1974, 1263–78.
Advances in credit risk modelling and corporate bankruptcy prediction by Jones S., Hensher D.A. (eds.)