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《Journal of Industrial Engineering and Engineering Management》 2005-01
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Distress Prediction: Application of the PCA in Logistic Regression

LIANG Qi(College of Economics,Nankai University, Tianjin 300071,China)  
Logistic regression model has become the standard method of analysis in the academic and practical fields of credit risk measurement.Considering the characteristics of high correlation and high dimension of the credit data of listed companies in China, this paper presents a new approach combining PCA with logistic analysis to empirically predict the Chinese corporate distress.The results show that the new approach is more stable and reliable than the simple logistic approach,especially in the credit prediction of the out of original samples.
【Fund】: 国家自然科学基金项目(70201001);; 国家社会科学基金项目(00CJY026)。
【CateGory Index】: F224
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