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Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default

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  • Fabio Sigrist
  • Werner A. Stahel
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    Abstract

    Regression models for limited continuous dependent variables having a non-negligible probability of attaining exactly their limits are presented. The models differ in the number of parameters and in their flexibility. Fractional data being a special case of limited dependent data, the models also apply to variables that are a fraction or a proportion. It is shown how to fit these models and they are applied to a Loss Given Default dataset from insurance to which they provide a good fit.

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    File URL: http://arxiv.org/pdf/1011.1796
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1011.1796.

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    Date of creation: Nov 2010
    Date of revision: May 2012
    Handle: RePEc:arx:papers:1011.1796

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    1. Shonkwiler, John Scott & Shaw, W. Douglass, 1996. "Hurdle Count-Data Models In Recreation Demand Analysis," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(02), December.
    2. Mullahy, John, 1986. "Specification and testing of some modified count data models," Journal of Econometrics, Elsevier, vol. 33(3), pages 341-365, December.
    3. Chen, Songnian & Khan, Shakeeb, 2001. "Semiparametric Estimation Of A Partially Linear Censored Regression Model," Econometric Theory, Cambridge University Press, vol. 17(03), pages 567-590, June.
    4. Gurmu, Shiferaw, 1997. "Semi-Parametric Estimation of Hurdle Regression Models with an Application to Medicaid Utilization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(3), pages 225-43, May-June.
    5. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
    6. Gurmu, Shiferaw & Trivedi, Pravin K, 1996. "Excess Zeros in Count Models for Recreational Trips," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 469-77, October.
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    Cited by:
    1. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn, 2013. "A zero-adjusted gamma model for mortgage loan loss given default," International Journal of Forecasting, Elsevier, vol. 29(4), pages 548-562.

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