This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Pedro N. Rodriguez (Departamento de Estadística e Investigación Operativa II, Universidad Complutense de Madrid, Madrid, Spain)
Arnulfo Rodriguez (Banco de México, Mexico City, Mexico)

Additional information is available for the following registered author(s):

Abstract

This paper extends the existing literature on empirical research in the field of sovereign debt. To the authors' knowledge, only one study in the area of sovereign debt has used a variety of statistical methodologies to test the reliability of their predictions and to compare their performance against one another. However, those comparisons across models have been made in terms of different probability cut-off points and mean squared errors. Moreover, the issue of interpretability has not been addressed in terms of interactions among explanatory variables with their correspondent debt rescheduling threshold level. The areas under the Receiver Operating Characteristic (ROC) curves are used to compare the discrimination power of statistical models. This paper tests logit, MARS, tree-based and neural network models. Analyses of the relative importance of variables and deviance were done. All of the models rank the previous payment history as the most important explanatory variable.  Copyright © 2006 John Wiley & Sons, Ltd.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1002/for.998
File Format: text/html
File Function: Link to full text; subscription required
Download Restriction: no

Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 25 (2006)
Issue (Month): 7 ()
Pages: 459-479
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:jof:jforec:v:25:y:2006:i:7:p:459-479

Contact details of provider:
Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Statistics
Access and download statistics

Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2008-9-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.