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Multi-Period Corporate Failure Prediction With Stochastic Covariates

Wang, Ke; Duffie, Darrell - Econometric Society - 2004

We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...

Persistent link: https://www.econbiz.de/10005702770

Forecasting Chilean Industrial Production with Automated Procedures

CHUMACERO, ROMULO A. - Econometric Society - 2004

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every...

Persistent link: https://www.econbiz.de/10005328915

TOPOLOGIES OF SOCIAL INTERACTIONS

Ioannides, Yannis M. - Econometric Society - 2004

We examine in this paper the role of an economy's social interaction structure, defined as a graph. Individuals care about the decisions of their neighbors. We extend the behavioral discrete-response rules along the lines of the interactive discrete choice model of Brock and Durlauf (2001) to...

Persistent link: https://www.econbiz.de/10005328995

Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives

Hill, Jonathan B. - Econometric Society - 2004

We develop LM-tests of linearity that are consistent against a class of Compound Smooth Transition Autoregressive (CoSTAR) models of the conditional mean. Our method is an extension of the sup-test developed by Bierens (1990) and Bierens and Plobeger (1997), provides maximal power against...

Persistent link: https://www.econbiz.de/10005063692

Estimation of Credit and Default Spreads: An Application to CDO Valuation

Noh, Jaesun - Econometric Society - 2004

Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing...

Persistent link: https://www.econbiz.de/10005342295

Loans to distressed firms: Political connections, Related lending, Business Group Affiliation and Bank Governance

Joh, Sung Wook; Chiu, Ming Ming - Econometric Society - 2004

Financial institutions (FIs) suffered from non-performing loans when debt-ridden firms failed. Nonetheless, FIs in Korea increased loans to distressed firms in the 1990s. Possible explanations for these loans include FIs having better inside information on borrowing firms, firms' sharing...

Persistent link: https://www.econbiz.de/10005342382

Prohibitions on Punishments in Private Contracts

Newman, Andrew; Bond, Philip - Econometric Society - 2004

We study legal restrictions on private contracting in the form of limitations on the severity of non-monetary punishments. We locate the rationale for such restrictions in externalities that parties impose on future relationships: punishments that lower an agent's future productivity may lower...

Persistent link: https://www.econbiz.de/10005699686

Multi-Period Corporate Failure Prediction With Stochastic Covariates

Wang, Ke; Duffie, Darrell - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005702710

Partial Identification of Poverty Measures with Contaminated Data

Campo, Juan Carlos Chavez-Martin del - Econometric Society - 2004

quality of the data is often poor, especially for developing countries. Robust estimation addresses this problem by searching … estimation, the rationale for point estimation is not apparent. In the present study we tackle the problem by implementing a … different strategy. Since a particular poverty measure is not point identified under the assumptions of robust estimation and …

Persistent link: https://www.econbiz.de/10005328859

Informal employment in Bolivia: A lost proposition?

Tannuri-Pianto, Maria; Pianto, Donald - Econometric Society - 2004

We study participation and relative earnings in the formal, informal, and self-employed sectors in Bolivia. We estimate quantile earnings equations corrected for self-selectivity to address potential biases in the estimates of relative earnings gaps due to the endogeneity of sector...

Persistent link: https://www.econbiz.de/10005328885