Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy
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- Pedro H. C. Sant’Anna, 2017. "Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 349-358, July.
References listed on IDEAS
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More about this item
KeywordsTime Series of counts; Residual autocorrelation function; Model checking; Credit risk management.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- G3 - Financial Economics - - Corporate Finance and Governance
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-20 (All new papers)
- NEP-ECM-2013-07-20 (Econometrics)
- NEP-RMG-2013-07-20 (Risk Management)
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