A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults
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DOI: 10.1287/mnsc.1100.1283
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Cited by:
- Zewei Lin & Dungang Liu, 2022. "Model diagnostics of discrete data regression: a unifying framework using functional residuals," Papers 2207.04299, arXiv.org.
- Andreas Blöchlinger, 2018. "Credit Rating and Pricing: Poles Apart," JRFM, MDPI, vol. 11(2), pages 1-26, May.
- Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, vol. 29(1), pages 175-190.
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Keywords
out-of-sample validation; probability calibration; Hosmer-Lemeshow statistic; Bernoulli mixture models; credit risk;All these keywords.
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