Forecasting corporate bankruptcy: Optimizing the performance of the mixed logit model

Abacus

Volumn 43, Issue 3, 2007, Pages 241-264

  Hensher, David A ^a,b   Jones, Stewart ^c  

^a Department of Management ^*

^b Institute of Transport and Logistics Studies   (Australia)

^c UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Corporate bankruptcy; Distribution, conditional and unconditional; Estimation precision; Mixed logit

Indexed keywords

EID: 34547986858     PISSN: 00013072     EISSN: 14676281     Source Type: Journal    
DOI: 10.1111/j.1467-6281.2007.00228.x     Document Type: Article

References (29)

1. Altman, E. I., Bankruptcy, Credit Risk and High Yield Junk Bonds, Blackwell Publishers, 2002.
2. Altman, E. I., R. Haldeman P. Narayan, 'ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations', Journal of Banking and Finance, Vol. 1, No. 1, 1977.
3. Bhat, C. R., 'Quasi-Random Maximum Simulated Likelihood Estimation of the Mixed Multinomial Logit Model', Transportation Research B, Vol. 35, No. 7, 2001.
4. Brownstone, D., D. Bunch K. Train, 'Joint Mixed Logit Models of Stated and Revealed Preferences for Alternative Fuel Vehicles', Transportation Research B, Vol. 34, No. 5, 2000.
5. Casey, C. N. Bartczak, 'Using Operating Cash Flow Data to Predict Financial Distress: Some Extensions', Journal of Accounting Research, Vol. 23, No. 1, 1985.
6. Evans, M., N. Hastings and B. Peacock, Statistical Distributions, John Wiley and Sons, 1993.
7. Gentry, J., P. Newbold D. T. Whitford, 'Classifying Bankrupt Firms With Funds Flow Components', Journal of Accounting Research, Vol. 23, No. 1, 1985.
8. Greene, W., Econometric Analysis, 5th ed., Prentice-Hall, 2005.
9. Greene, W., D. A. Hensher J. Rose, 'Using Classical Simulation Based Estimators to Estimate Individual Willingness to Pay Values: A Mixed Logit Case Study of Commuters', invited paper for Anna Alberini and Riccardo Scarpa (eds), Applications of Simulation Methods in Environmental and Resource Economics, Kluwer Academic Publishers, 2005.
10. Greene, W., D. A. Hensher J. Rose, 'Accounting for Heterogeneity in the Variance of the Unobserved Effects in Mixed Logit Models', Transportation Research B, Vol. 30, No. 1, 2006.
11. Hensher, D. A. W. H. Greene, 'Mixed Logit Models: State of Practice', Transportation, Vol. 30, No. 2, 2003.
12. Hensher, D. A., S. Jones W. H. Greene, 'An Error Component Logit Analysis of Corporate Bankruptcy and Insolvency Risk in Australia', The Economic Record, March 2007.
13. Hensher, D. A., J. M. Rose W. H. Greene, Applied Choice Analysis: A Primer, Cambridge University Press, 2005.
14. Huber, J. K. Train, 'On the Similarity of Classical and Bayesian Estimates of Individual Mean Partworths', Marketing Letters, Vol. 12, No. 3, 2001.
15. Jones, F. L., 'Current Techniques in Bankruptcy Prediction', Journal of Accounting Literature, Vol. 6, 1987.
16. Jones, S. D. A. Hensher, 'Predicting Financial Distress: A Mixed Logit Model', The Accounting Review, Vol. 79, No. 4, 2004.
17. Jones, S. D. A. Hensher, 'Modelling Corporate Failure: A Multinomial Nested Logit Analysis for Unordered Outcomes', The British Accounting Review, March 2007a.
18. Jones, S. D. A. Hensher, 'Evaluating the Behavioural Performance of Alternative Logit Models: An Application to Corporate Takeovers Research', Journal of Business Finance and Accounting, forthcoming, 2007b.
19. Joy, M. J. Tollefson, 'On the Financial Applications of Discriminant Analysis', Journal of Financial and Quantitative Analysis, December 1975.
20. Louviere, J., D. Hensher J. Swait, Stated Choice Methods and Analysis, Cambridge University Press, 2000.
21. McFadden, D. K. Train, 'Mixed MNL Models for Discrete Response', Journal of Applied Econometrics, Vol. 15, No. 5, 2000.
22. Ohlson, J. A., 'Financial Ratios and the Probabilistic Prediction of Bankruptcy', Journal of Accounting Research, Vol. 18, No. 1, 1980.
23. Palepu, K., 'Predicting Takeover Targets: A Methodological and Empirical Analysis', Journal of Accounting and Economics, Vol. 8, No. 1, 1986.
24. Revelt, D. K. Train, Customer-Specific Taste Parameters and Mixed Logit, Working Paper, Department of Economics, University of California, Berkeley, http://elsa.berkeley.edu/wp/train0999.pdf, 2000.
25. Sándor, Z. M. Wedel, 'Profile Construction in Experimental Choice Designs for Mixed Logit Models', Marketing Science, Vol. 21, No. 4, 2002.
26. Stern, S., 'Simulation-Based Estimation', Journal of Economic Literature, December 1997.
27. Train, K., Discrete Choice Methods With Simulation, Cambridge University Press, 2003.
28. Winship, C. R. D. Mare, 'Regression Models With Ordinal Variables', American Sociological Review, Vol. 49, No. 4, 1984.
29. Zmijewski, M. E., 'Methodological Issues Related to the Estimation of Financial Distress Prediction Models', Journal of Accounting Research, 22 (Supplement 1984.