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A Comparison of Variables Selection Methods and their Sequential Application: A Case Study of the Bankruptcy of Polish Companies

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  • Zanka Mikhail

    (University of Warsaw, Faculty of Mathematics, Informatics and Mechanics, Institute of Informatics, Banacha 2, 02-097Warsaw, Poland)

Abstract

Research background: Even though in recent decades, a lot of new techniques were developed, there is still a lack of studies aimed at comparing the performance of variable selection methods. Bankruptcy prediction is an excellent example of the conservative research field with the tendency to use classical approaches. Although the results of studies in this field are directly applied in banks and other financial institutions, variables selected for these models can be biased by the author’s preference for one technique.

Suggested Citation

  • Zanka Mikhail, 2020. "A Comparison of Variables Selection Methods and their Sequential Application: A Case Study of the Bankruptcy of Polish Companies," Folia Oeconomica Stetinensia, Sciendo, vol. 20(1), pages 531-543, June.
    • Handle: RePEc:vrs:foeste:v:20:y:2020:i:1:p:531-543:n:31
    DOI: 10.2478/foli-2020-0031
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    References listed on IDEAS

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    2. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
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    4. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
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    7. Traczynski, Jeffrey, 2017. "Firm Default Prediction: A Bayesian Model-Averaging Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(3), pages 1211-1245, June.
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    More about this item

    Keywords

    Variable Selection; Ensemble Models; Bayesian Model Averaging; LASSO; Bankruptcy Prediction;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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