Ordered response models for sovereign debt ratings
Using ordered logit and probit plus random effects ordered probit approaches, we study the determinants of sovereign debt ratings. We found that the last procedure is the best for panel data as it takes into account the additional cross-section error.
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Volume (Year): 16 (2009)
Issue (Month): 8 ()
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- Hu, Yen-Ting & Kiesel, Rudiger & Perraudin, William, 2002. "The estimation of transition matrices for sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1383-1406, July.
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- Guillaume R. Frechette, 2001. "Random-effects ordered probit," Stata Technical Bulletin, StataCorp LP, vol. 10(59).
- Bissoondoyal-Bheenick, Emawtee, 2005. "An analysis of the determinants of sovereign ratings," Global Finance Journal, Elsevier, vol. 15(3), pages 251-280, February.
- Sophia Rabe-Hesketh & Andrew Pickles & Colin Taylor, 2000. "Generalized linear latent and mixed models," Stata Technical Bulletin, StataCorp LP, vol. 9(53).
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