In this paper, a default prediction method based on the discrete-time varying-coefficient hazard model (DVHM) is proposed. The new model is constructed by replacing the constant coefficients of firm-specific predictors in the discrete-time hazard model (DHM; see Shumway, 2001; and Chava & Jarrow,...

The dissertation consists of three essays. The main focus is set on semiparametric regression modeling, which embodies the strength of parametric and nonparametric regression models in terms of flexibility, dimensionality and interpretability. The first essay is “Some Recent Advances in...

This paper considers the semiparametric stochastic frontier model with panel data which arises in the problem of measuring technical inefficiency in production processes. We assume a parametric form for the frontier function, which is linear in production inputs. The density of the individual...

This paper generalizes the results of Hausman and Taylor (1981), Schmidt and Sickles (1984), Cornwell, Schmidt and Sickles (1990) and Park and Simar (1992) to the efficient IV estimation of panel models in which the random effects are correlated with a subset of the regressors. The model in...