Table 3
NLLS Estimates of Bankruptcy Cost Parameter μ
|
Period |
Obs. |
Estimate |
Std. Err. a |
Adj. R2 |
Pr > λIb |
|
1997Q2 |
327 |
0.144 |
0.041 |
045 |
< . 01 |
|
1997Q3 |
349 |
0.105 |
0.029 |
0.41 |
<.01 |
|
1997Q4 |
368 |
0.139 |
0.040 |
0.47 |
<.01 |
|
1998Q1 |
392 |
0.080 |
0.051 |
0.40 |
<.01 |
|
1998Q2 |
399 |
0.074 |
0.030 |
0.36 |
<.01 |
|
1998Q3 |
427 |
0.074 |
0.032 |
0.38 |
<.01 |
|
1998Q4 |
442 |
0.239 |
0.046 |
0.49 |
<.01 |
|
1999Q1 |
458 |
0.163 |
0.038 |
0.48 |
<.01 |
|
1999Q2 |
460 |
0.121 |
0.031 |
0.49 |
<.01 |
|
1999Q3 |
438 |
0.106 |
0.044 |
0.42 |
<.01 |
|
1999Q4 |
442 |
0.178 |
0.048 |
0.49 |
<.01 |
|
2000Q1 |
463 |
0.193 |
0.052 |
0.52 |
<.01 |
|
2000Q2 |
476 |
0.275 |
0.050 |
0.56 |
<.01 |
|
2000Q3 |
487 |
0.262 |
0.038 |
0.59 |
<.01 |
|
2000Q4 |
492 |
0.496 |
0.063 |
0.58 |
<.01 |
|
2001Q1 |
490 |
0.472 |
0.064 |
0.52 |
<.01 |
|
2001Q2 |
500 |
0.485 |
0.077 |
0.60 |
<.01 |
|
2001Q3 |
489 |
0.400 |
0.078 |
0.58 |
<.01 |
|
2001Q4 |
480 |
0.401 |
0.079 |
0.53 |
<.01 |
|
2002Q1 |
497 |
0.291 |
0.058 |
0.52 |
<.01 |
|
2002Q2 |
508 |
0.290 |
0.062 |
0.53 |
<.01 |
|
2002Q3 |
502 |
0.349 |
0.062 |
0.54 |
<.01 |
|
2002Q4 |
523 |
0.443 |
0.055 |
0.54 |
<.01 |
|
2003Q1 |
537 |
0.342 |
0.040 |
0.54 |
<.01 |
|
2003Q2 |
523 |
0.186 |
0.029 |
0.47 |
<.01 |
|
2003Q3 |
520 |
0.203 |
0.043 |
0.46 |
< . 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 λI of the exclusion of fixed industry
effects.
32