Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model

In this paper we investigate the ability of a number of different ordered probit models to predict ratings based on firm-specific data on business and financial risks. We investigate models based on momentum, drift and ageing and compare them against alternatives that take into account the initial rating of the firm and its previous actual rating. Using data on US bond issuing firms rated by Fitch over the years 2000 to 2007 we compare the performance of these models in predicting the rating in-sample and out-of-sample using root mean squared errors, Diebold-Mariano tests of forecast performance and contingency tables. We conclude that initial and previous states have a substantial influence on rating prediction.

Forecasting UK real estate cycle phases with leading indicators: a probit approach

This paper examines the significance of widely used leading indicators of the UK economy for predicting the cyclical pattern of commercial real estate performance. The analysis uses monthly capital value data for UK industrials, offices and retail from the Investment Property Databank (IPD). Prospective economic indicators are drawn from three sources namely, the series used by the US Conference Board to construct their UK leading indicator and the series deployed by two private organisations, Lombard Street Research and NTC Research, to predict UK economic activity. We first identify turning points in the capital value series adopting techniques employed in the classical business cycle literature. We then estimate probit models using the leading economic indicators as independent variables and forecast the probability of different phases of capital values, that is, periods of declining and rising capital values. The forecast performance of the models is tested and found to be satisfactory. The predictability of lasting directional changes in property performance represents a useful tool for real estate investment decision-making.

Intellectual property and competition as complementary policies: a test using an ordered probit model

Este Artigo Testa a Proposição da Teoria Econômica de que Propriedade Intelectual e Defesa da Concorrência são Políticas Complementares. um Modelo Probit Ordenado é Utilizado para Estimar os Efeitos Marginais do Uso e Qualidade do Enforcement dos Direitos de Propriedade Intelectual em uma Medida da Gravidade dos Problemas Relacionados À Concorrência. os Resultados Obtidos Reforçam a Noção de que as Políticas de Concorrência e Propriedade Intelectual não são Contraditórias.

Generalized linear mixed models for the genetic evaluation of binary reproductive traits: a simulation study

The objective of this study was to evaluate the use of probit and logit link functions for the genetic evaluation of early pregnancy using simulated data. The following simulation/analysis structures were constructed: logit/logit, logit/probit, probit/logit, and probit/probit. The percentages of precocious females were 5, 10, 15, 20, 25 and 30% and were adjusted based on a change in the mean of the latent variable. The parametric heritability (h²) was 0.40. Simulation and genetic evaluation were implemented in the R software. Heritability estimates (ĥ²) were compared with h² using the mean squared error. Pearson correlations between predicted and true breeding values and the percentage of coincidence between true and predicted ranking, considering the 10% of bulls with the highest breeding values (TOP10) were calculated. The mean ĥ² values were under- and overestimated for all percentages of precocious females when logit/probit and probit/logit models used. In addition, the mean squared errors of these models were high when compared with those obtained with the probit/probit and logit/logit models. Considering ĥ², probit/probit and logit/logit were also superior to logit/probit and probit/logit, providing values close to the parametric heritability. Logit/probit and probit/logit presented low Pearson correlations, whereas the correlations obtained with probit/probit and logit/logit ranged from moderate to high. With respect to the TOP10 bulls, logit/probit and probit/logit presented much lower percentages than probit/probit and logit/logit. The genetic parameter estimates and predictions of breeding values of the animals obtained with the logit/logit and probit/probit models were similar. In contrast, the results obtained with probit/logit and logit/probit were not satisfactory. There is need to compare the estimation and prediction ability of logit and probit link functions.

Application of a Bivariate Probit Model to Investigate the Intended Evacuation from Hurricane

With evidence of increasing hurricane risks in Georgia Coastal Area (GCA) and Virginia in the U.S. Southeast and elsewhere, understanding intended evacuation behavior is becoming more and more important for community planners. My research investigates intended evacuation behavior due to hurricane risks, a behavioral survey of the six counties in GCA under the direction of two social scientists with extensive experience in survey research related to citizen and household response to emergencies and disasters. Respondents gave answers whether they would evacuate under both voluntary and mandatory evacuation orders. Bivariate probit models are used to investigate the subjective belief structure of whether or not the respondents are concerned about the hurricane, and the intended probability of evacuating as a function of risk perception, and a lot of demographic and socioeconomic variables (e.g., gender, military, age, length of residence, owning vehicles).

Measuring poverty in Portugal: an absolute approach

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Active ageing index and quality of life

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Health expenditures in the OECD: A political economy analysis using structural breaks

A Masters Thesis, presented as part of the requirements for the award of a Research Masters Degree in Economics from NOVA – School of Business and Economics

Measuring poverty in Portugal: An absolute approach

The aim of this article is to measure poverty in Portugal from an absolute perspective. We estimated several absolute poverty lines and defined maximum and minimum thresholds. We applied aggregation measures to these thresholds and constructed probit models to assess the effect of some variables on poverty. The intervals obtained contain the poverty lines constructed by other approaches. We got evidence that poverty is positively correlated with the number of people in the household, with living alone; negatively correlated with the number of workers in the household, the share on non-food expenditure and the existence of a heating device at home.

Seniority-based pay: is it used as a motivation device?

The purpose of this article is to explain what factors determine the use of seniority-based pay for production workers in Spanish manufacturing industry. The data used in order to achieve these objectives was taken from 774 Spanish industrial plants. The estimation of several ordered probit models enabled us to see that in firms where it was more costly for management to engage in opportunistic behaviour, deferred payment shows a negative relation to the use of devices, like monitoring or incentive payment, designed to align workers’ objectives with those of the company.

Contact and communication with healthcare providers regarding influenza vaccination during the 2009-2010 H1N1 pandemic.

Objective. The existence of two vaccines seasonal and pandemic-created the potential for confusion and misinformation among consumers during the 2009-2010 vaccination season. We measured the frequency and nature of influenza vaccination communication between healthcare providers and adults for both seasonal and 2009 influenza A(H1N1) vaccination and quantified its association with uptake of the two vaccines.Methods. We analyzed data from 4040 U.S. adult members of a nationally representative online panel surveyed between March 4th and March 24th, 2010. We estimated prevalence rates and adjusted associations between vaccine uptake and vaccination-related communication between patients and healthcare providers using bivariate probit models.Results. 64.1% (95%-CI: 61.5%-66.6%) of adults did not receive any provider-issued influenza vaccination recommendation. Adults who received a provider-issued vaccination recommendation were 14.1 (95%-CI: -2.4 to 30.6) to 32.1 (95%-CI: 24.3-39.8) percentage points more likely to be vaccinated for influenza than adults without a provider recommendation, after adjusting for other characteristics associated with vaccination.Conclusions. Influenza vaccination communication between healthcare providers and adults was relatively uncommon during the 2009-2010 pandemic. Increased communication could significantly enhance influenza vaccination rates. (C) 2011 Elsevier Inc. All rights reserved.

Support for Seasonal Influenza Vaccination Requirements among US Healthcare Personnel.

Objective. To measure support for seasonal influenza vaccination requirements among US healthcare personnel (HCP) and its associations with attitudes regarding influenza and influenza vaccination and self-reported coverage by existing vaccination requirements. Design. Between June 1 and June 30, 2010, we surveyed a sample of US HCP ([Formula: see text]) recruited using an existing probability-based online research panel of participants representing the US general population as a sampling frame. Setting. General community. Participants. Eligible HCP who (1) reported having worked as medical doctors, health technologists, healthcare support staff, or other health practitioners or who (2) reported having worked in hospitals, ambulatory care facilities, long-term care facilities, or other health-related settings. Methods. We analyzed support for seasonal influenza vaccination requirements for HCP using proportion estimation and multivariable probit models. Results. A total of 57.4% (95% confidence interval, 53.3%-61.5%) of US HCP agreed that HCP should be required to be vaccinated for seasonal influenza. Support for mandatory vaccination was statistically significantly higher among HCP who were subject to employer-based influenza vaccination requirements, who considered influenza to be a serious disease, and who agreed that influenza vaccine was safe and effective. Conclusions. A majority of HCP support influenza vaccination requirements. Moreover, providing HCP with information about the safety of influenza vaccination and communicating that immunization of HCP is a patient safety issue may be important for generating staff support for influenza vaccination requirements.

Bayesian Networks for the Age Classification of Living Individuals: a Study on Transition Analysis

Over the past few decades, age estimation of living persons has represented a challenging task for many forensic services worldwide. In general, the process for age estimation includes the observation of the degree of maturity reached by some physical attributes, such as dentition or several ossification centers. The estimated chronological age or the probability that an individual belongs to a meaningful class of ages is then obtained from the observed degree of maturity by means of various statistical methods. Among these methods, those developed in a Bayesian framework offer to users the possibility of coherently dealing with the uncertainty associated with age estimation and of assessing in a transparent and logical way the probability that an examined individual is younger or older than a given age threshold. Recently, a Bayesian network for age estimation has been presented in scientific literature; this kind of probabilistic graphical tool may facilitate the use of the probabilistic approach. Probabilities of interest in the network are assigned by means of transition analysis, a statistical parametric model, which links the chronological age and the degree of maturity by means of specific regression models, such as logit or probit models. Since different regression models can be employed in transition analysis, the aim of this paper is to study the influence of the model in the classification of individuals. The analysis was performed using a dataset related to the ossifications status of the medial clavicular epiphysis and results support that the classification of individuals is not dependent on the choice of the regression model.

Bidirectional relationship between the Body Mass Index and Substance Use in Young Men

BACKGROUND: Obesity and substance use are major concern in young people. This study explored the bidirectional longitudinal relationships between the body mass index (BMI) of young men and their use of: 1) four classes of non-medical prescription drugs; 2) alcohol; 3) tobacco; and 4) cannabis. METHODS: Baseline and follow-up data from the Cohort Study on Substance Use Risk Factors were used (n=5,007). A cross-lagged panel model, complemented by probit models as sensitivity analysis, was run to determine the bidirectional relationships between BMI and substance use. Alcohol was assessed using risky single-occasion drinking (RSOD); tobacco, using daily smoking; and cannabis, using hazardous cannabis use (defined as twice-weekly or more cannabis use). Non-medical prescription drugs use (NMPDU) included opioid analgesics, sedatives/sleeping pills, anxiolytics and stimulants. RESULTS: Different associations were found between BMI and substance use. Only RSOD (β= -.053, p=.005) and NMPDU of anxiolytics (β=.040, p=.020) at baseline significantly predicted BMI at follow-up. Baseline RSOD predicted a lower BMI at follow-up while baseline NMPDU of anxiolytics predicted higher BMI at follow-up. Furthermore, BMI at baseline significantly predicted daily smoking (β=.050, p=.007) and hazardous cannabis use (β=.058, p=.030). CONCLUSIONS: Our results suggest different associations between BMI and the use of various substances by young men. However, only RSOD and NMPDU of anxiolytics predicted BMI, whereas BMI predicted daily smoking and hazardous cannabis use.