英文标题：
《Binary Response Models for Heterogeneous Panel Data with Interactive
Fixed Effects》
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作者：
Jiti Gao and Fei Liu and Bin Peng and Yayi Yan
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最新提交年份：
2021
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英文摘要：
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge. From a practical point of view, the proposed framework can be applied to predict the probability of corporate failure, conduct credit rating analysis, etc. Theoretically and methodologically, we establish a link between a maximum likelihood estimation and a least squares approach, provide a simple information criterion to detect the number of factors, and achieve the asymptotic distributions accordingly. In addition, we conduct intensive simulations to examine the theoretical findings. In the empirical study, we focus on the sign prediction of stock returns, and then use the results of sign forecast to conduct portfolio analysis.
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中文摘要：
在本文中，我们研究了具有交互固定效应的异质面板数据的二元响应模型，允许横截面维度和时间维度发散。从实用角度来看，所提出的框架可用于预测公司破产的概率，进行信用评级分析等。从理论和方法上，我们在最大似然估计和最小二乘法之间建立了联系，提供了一个简单的信息标准来检测因素的数量，并得到相应的渐近分布。此外，我们进行了深入的模拟来检验理论发现。在实证研究中，我们主要关注股票收益的符号预测，然后利用符号预测的结果进行投资组合分析。
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分类信息：

一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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