학위논문 (박사)-- 서울대학교 대학원 : 경제학부 경제학 전공, 2016. 2. 류근관.This paper considers the econometric problems arising from using outdated data in a regression model in which the independent variable is observed less frequently than the dependent variable. Specifically, OLS estimates may suffer from a form of omitted variable bias if outdated data is correlated with information during the time no observation takes place. We claim that using data correlated with the independent variable but with a shorter observation period to update the independent variable can eliminate the bias, as well as reducing uncertainty in estimating the dependent variable. We test the theory with an empirical model of bankruptcy forecast for medium sized firms. We present a more accurate default forecast model that updates the average change in firms financial standing with monthly business cycle information. Financial institutions may use the monthly estimates to monitor losses on their loan portfolios more accurately and more frequently.1. Introduction 1
1.1 Motivation 1
1.2 Contributions and outline of the paper 5
2. Is it problematic to use outdated data in regression models? 8
2.1 Introduction 8
2.2 Omitted variable bias from using outdated data and information update with auxiliary variable 10
2.3 Information update and regression variance 17
2.4 Conclusion 19
3. Forecasting Bankruptcy More Frequently: Information Update via High Frequency Data 21
3.1 Introduction 21
3.2 Hazard model and outdated data 25
3.3 Estimating portfolios expected loss using monthly business cycle data 27
3.4 Data construction and basic description 30
3.5 Estimation results 35
3.6 Robustness checks 41
3.7 Application in financial institutions 49
3.8 Conclusion 50
4. Concluding remarks 51
References 52
Appendix 52
A.1 Proof of the equation (11) 54
A.2 Multiple outdated variables 55
A.3 Measurement error in the auxiliary variable z 57
A.4 Yearly financial statements data summary 62
A.5 Financial ratios 64
A.6 Estimation results with financial ratios in Altman(1968) and Zmijewski (1984) 65
국문초록 70Docto
