Table 2
NLLS Estimates of Bankruptcy Cost Parameter μ
|
Period |
Obs. |
Estimate |
Std. Err. a |
Adj. R^i |
Pr > λRb |
Pr > λιc |
|
1997Q2 |
327 |
0.131 |
0.037 |
018 |
< . 01 |
019 |
|
1997Q3 |
349 |
0.105 |
0.022 |
0.88 |
<.01 |
0.15 |
|
1997Q4 |
368 |
0.139 |
0.035 |
0.88 |
<.01 |
0.57 |
|
1998Q1 |
392 |
0.080 |
0.047 |
0.87 |
<.01 |
0.68 |
|
1998Q2 |
399 |
0.074 |
0.028 |
0.83 |
<.01 |
0.72 |
|
1998Q3 |
427 |
0.074 |
0.034 |
0.84 |
<.01 |
0.39 |
|
1998Q4 |
442 |
0.228 |
0.044 |
0.85 |
<.01 |
<.01 |
|
1999Q1 |
458 |
0.145 |
0.037 |
0.81 |
<.01 |
<.01 |
|
1999Q2 |
460 |
0.112 |
0.031 |
0.77 |
<.01 |
0.05 |
|
1999Q3 |
438 |
0.088 |
0.047 |
0.72 |
<.01 |
0.29 |
|
1999Q4 |
442 |
0.165 |
0.043 |
0.69 |
<.01 |
0.16 |
|
2000Q1 |
463 |
0.188 |
0.056 |
0.69 |
<.01 |
0.53 |
|
2000Q2 |
476 |
0.273 |
0.055 |
0.71 |
<.01 |
0.59 |
|
2000Q3 |
487 |
0.253 |
0.039 |
0.70 |
<.01 |
0.12 |
|
2000Q4 |
492 |
0.458 |
0.069 |
0.65 |
<.01 |
<.01 |
|
2001Q1 |
490 |
0.406 |
0.069 |
0.62 |
<.01 |
<.01 |
|
2001Q2 |
500 |
0.463 |
0.079 |
0.70 |
<.01 |
<.01 |
|
2001Q3 |
489 |
0.386 |
0.075 |
0.73 |
<.01 |
<.01 |
|
2001Q4 |
480 |
0.372 |
0.070 |
0.74 |
<.01 |
<.01 |
|
2002Q1 |
497 |
0.291 |
0.062 |
0.76 |
<.01 |
<.01 |
|
2002Q2 |
508 |
0.292 |
0.062 |
0.75 |
<.01 |
<.01 |
|
2002Q3 |
502 |
0.359 |
0.064 |
0.76 |
<.01 |
<.01 |
|
2002Q4 |
523 |
0.444 |
0.052 |
0.73 |
<.01 |
<.01 |
|
2003Q1 |
537 |
0.330 |
0.039 |
0.77 |
<.01 |
<.01 |
|
2003Q2 |
523 |
0.164 |
0.029 |
0.77 |
<.01 |
<.01 |
|
2003Q3 |
520 |
0.186 |
0.041 |
0.77 |
< . 01 |
< . 01 |
Notes: In every period, the sample excludes firms with leverage ratios below the
2.5th percentile and above the 97.5th percentile, firms with credit spreads above the
97.5th percentile, and firms with EDFs at exactly 20%.
aComputed using a heteroscedasticity-consistent asymptotic covariance matrix; see White
(1980).
bp-value for the likelihood ratio test statistic λR of the exclusion of fixed credit rating
effects.
cp-value for the likelihood ratio test statistic λI of the exclusion of fixed industry effects.
25
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