Contrary to their significance for the adjustment of econometric models, dummy variables are seldom addressed in the literature. They serve as a tool for improving the fit of the model equations to the data and with it the prognostic performance of a model, at least lastly. Referring to the...

We propose new specifications that explicitly account for information noise in the input data of bankruptcy hazard models. The specifications are motivated by a theory of modeling credit risk with incomplete information (Duffie and Lando [2001]). Based on over 2 million firm-months of data...

Exponential Smooth Transition Autoregressive (ESTAR) model is widely adopted in the exchange rate study as its symmetrical distribution matches that of the symmetrical exchange rate adjustment behaviour. In contrast, another specification of STAR model, namely the LSTAR (logistic STAR) model is...