Table 15 - Summary of prediction errors
|
Estimation |
Obs. |
Prediction error (notches) |
% Correctly |
% Within 1 |
% Within 2 | ||||||||||
|
5 |
4 |
3 |
2 |
1 |
0 |
-1 |
-2 |
-3 |
-4 |
-5 | |||||
|
OLS |
557 |
0 |
5 |
~7Γ |
88 |
209 |
141 |
ɪ |
2 |
0 |
0 |
37.5% |
78.6% |
96.6% | |
|
RE with εi |
557 |
0 |
0 |
1 |
17 |
78 |
361 |
91 |
8 |
1 |
0 |
0 |
64.8% |
95.2% |
99.6% |
|
Moody’s RE without εi |
557 |
0 |
6 |
15 |
49 |
92 |
188 |
141 |
53 |
12 |
1 |
0 |
33.8% |
75.6% |
93.9% |
|
Ordered Probit |
557 |
4 |
4 |
14 |
35 |
99 |
259 |
86 |
46 |
10 |
0 |
0 |
46.5% |
79.7% |
94.3% |
|
RE Ordered Probit |
557 |
0 |
8 |
23 |
59 |
106 |
244 |
71 |
34 |
11 |
1 |
0 |
43.8% |
75.6% |
92.3% |
|
OLS |
568 |
0 |
3 |
15 |
34 |
104 |
218 |
147 |
41 |
6 |
0 |
0 |
38.4% |
82.6% |
95.8% |
|
RE with εi |
565 |
0 |
0 |
1 |
6 |
80 |
392 |
83 |
2 |
1 |
0 |
0 |
69.4% |
98.2% |
99.6% |
|
S&P RE without εi |
565 |
0 |
5 |
12 |
39 |
98 |
216 |
133 |
52 |
10 |
0 |
0 |
38.2% |
79.1% |
95.2% |
|
Ordered Probit |
565 |
0 |
10 |
14 |
28 |
99 |
262 |
118 |
23 |
10 |
1 |
0 |
46.4% |
84.8% |
93.8% |
|
RE Ordered Probit |
565 |
1 |
12 |
13 |
41 |
115 |
218 |
130 |
29 |
6 |
0 |
0 |
38.6% |
81.9% |
94.3% |
|
OLS |
481 |
1 |
3 |
6 |
32 |
87 |
196 |
113 |
43 |
0 |
0 |
0 |
40.7% |
82.3% |
97.9% |
|
RE with εi |
481 |
0 |
1 |
2 |
4 |
63 |
339 |
71 |
1 |
0 |
0 |
0 |
70.5% |
98.3% |
99.4% |
|
Fitch RE without εi |
481 |
1 |
3 |
7 |
39 |
93 |
174 |
106 |
57 |
1 |
0 |
0 |
36.2% |
77.5% |
97.5% |
|
Ordered Probit |
481 |
1 |
0 |
16 |
32 |
91 |
209 |
95 |
31 |
6 |
0 |
0 |
43.5% |
82.1% |
95.2% |
|
RE Ordered Probit |
553 |
1 |
3 |
25 |
53 |
115 |
191 |
121 |
36 |
8 |
0 |
0 |
34.5% |
77.2% |
93.3% |
Notes: * - prediction error within +/- 1 notch. ** - prediction error within +/- 2 notches.
Table 16 - Upgrades and downgrades prediction
|
Sample |
Predicted Upgrades |
Upgrades correctly |
Sample |
Predicted |
Downgrades correctly | |||
|
t |
t+1 |
t |
t+1 | |||||
|
OLS |
60 |
95 |
23 |
20 |
34 |
55 |
20 |
10 |
|
RE with εi |
60 |
87 |
28 |
17 |
34 |
51 |
16 |
12 |
|
Moody's RE without εi |
60 |
89 |
23 |
16 |
34 |
51 |
17 |
8 |
|
Ordered Probit |
60 |
127 |
31 |
25 |
34 |
72 |
20 |
8 |
|
RE Ordered Probit |
60 |
101 |
23 |
23 |
34 |
65 |
18 |
8 |
|
OLS |
79 |
79 |
32 |
17 |
41 |
50 |
16 |
15 |
|
RE with εi |
79 |
79 |
31 |
14 |
41 |
52 |
18 |
12 |
|
S&P RE without εi |
79 |
90 |
34 |
15 |
41 |
61 |
19 |
14 |
|
Ordered Probit |
79 |
102 |
38 |
14 |
41 |
64 |
20 |
13 |
|
RE Ordered Probit |
79 |
90 |
31 |
15 |
41 |
68 |
20 |
12 |
|
OLS |
68 |
74 |
28 |
19 |
25 |
35 |
13 |
3 |
|
RE with εi |
68 |
67 |
25 |
19 |
25 |
34 |
15 |
7 |
|
Fitch RE without εi |
68 |
89 |
24 |
20 |
25 |
53 |
15 |
5 |
|
Ordered Probit |
69 |
115 |
30 |
24 |
25 |
71 |
15 |
5 |
|
RE Ordered Probit |
89 |
154 |
43 |
29 |
26 |
77 |
13 |
7 |
Note: εi - estimated country specific effect.
49
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