Ordered Response Models for Sovereign Debt Ratings
Technical University of Lisbon - ISEG (School of Economics and Management); UECE (Research Unit on Complexity and Economics); European Central Bank (ECB)
Pedro M. Gomes Sr.
Universidad Carlos III
European Central Bank (ECB)
Applied Economics Letters, Vol. 16, No. 8, pp. 769-773, 2009
Using ordered logit and probit plus random effects ordered probit approaches, we study the determinants of sovereign debt ratings. We found that the last procedure is the best for panel data as it takes into account the additional cross-section error.
Keywords: ordered probit, ordered logit, random effects ordered probit, sovereign rating
JEL Classification: C25, E44, F30, G15Accepted Paper Series
Date posted: May 14, 2009
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