The dynamic logit model (DLM) with autocorrelation structure (Liang and Zeger Biometrika 73:13–22, <CitationRef CitationID="CR26">1986</CitationRef>) is proposed as a model for predicting recurrent financial distresses. This model has been applied in many examples to analyze repeated binary data due to its simplicity in computation and...</citationref>

In this paper, a default prediction method based on the discrete-time varying-coefficient hazard model (DVHM) is proposed. The new model is constructed by replacing the constant coefficients of firm-specific predictors in the discrete-time hazard model (DHM; see Shumway, 2001; and Chava & Jarrow,...