Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of Econometrics 162 (2011) 2, pp. 312-325
We propose a novel time series panel data framework for estimating and forecasting time-varying corporate default rates subject to observed and unobserved risk factors. In an empirical application for a U.S. dataset, we find a large and significant role for a dynamic frailty component even...