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Alternative Multivariate Tests in Limited Dependent Variable Models: An Empirical Assessment

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  • Ingram, F. Jerry
  • Frazier, Emma L.

Abstract

Recently, a debate has developed in both the theoretical and applied statistical literature regarding the appropriateness of various techniques in analytical models with limited (particularly, 0-1) dependent variables. In financial research, limited dependent variable models usually arise in one of two ways:1. classification (or discrimination)--assigning observations to discrete, a priori determined groups, or2. regression--relating a qualitative dependent variable to one or more independent variables (which may or may not be qualitative).

Suggested Citation

  • Ingram, F. Jerry & Frazier, Emma L., 1982. "Alternative Multivariate Tests in Limited Dependent Variable Models: An Empirical Assessment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(2), pages 227-240, June.
    • Handle: RePEc:cup:jfinqa:v:17:y:1982:i:02:p:227-240_01
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    Cited by:

    1. Rais Ahmad Itoo & Selvarasu Appasamy Mutharasu & José António Filipe, 2013. "Effect of Loan Value and Collateral on Value of Mortgage Default," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(4), pages 635-635.
    2. Kroot, Jan & Giouvris, Evangelos, 2016. "Dutch mortgages: Impact of the crisis on probability of default," Finance Research Letters, Elsevier, vol. 18(C), pages 205-217.
    3. Javier Gutiérrez Rueda & Dairo Estrada & Laura Capera, 2011. "Un análisis del endeudamiento de los hogares," Temas de Estabilidad Financiera 061, Banco de la Republica de Colombia.
    4. Gajdosikova Dominika & Valaskova Katarina, 2023. "Bankruptcy Prediction Model Development and its Implications on Financial Performance in Slovakia," Economics and Culture, Sciendo, vol. 20(1), pages 30-42, June.
    5. Rodrigo Alfaro & Natalia Gallardo & Roberto Stein, 2010. "The Determinants of Household Debt Defa," Working Papers Central Bank of Chile 574, Central Bank of Chile.

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