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Modele predykcji upadłości MŚP w Polsce – analiza z wykorzystaniem modelu przeżycia Coxa i modelu regresji logistycznej

100%
Ptak-Chmielewska A.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2014
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issue 4(46)
9-21
EN
Modele predykcji upadłości MŚP w Polsce – analiza z wykorzystaniem modelu przeżycia Coxa i modelu regresji logistycznej
2
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Statistical models in enterprises default risk assessment – an example of application

100%
Ptak-Chmielewska A., Kuleta P.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2018
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issue vol. 22 no. 1
94-106
EN
Default risk assessment is crucial in the banking activity. Different models were developed in the literature using the discriminant analysis, logistic regression and data mining techniques. In this paper the logistic regression was applied to verify models proposed by R. Jagiełło for different sectors. As an alternative, the logistic regression model with the nominal variable SECTOR was applied on the pooled sample of enterprises. The dynamic approach using the Cox regression survival model was estimated. Including the nominal variable SECTOR only slightly increases the predictive power of the model (in the case of “defaults”). The predictive power of the Cox regression model is lower, the only advantage is the higher accuracy classification in the case of “defaulted” enterprises.
3
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Extensions of cox model for non-proportional hazards purpose

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Borucka J.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2014
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issue 3(45)
85-101
EN
Cox proportional hazard model is one of the most common methods used in time to event analysis. The idea of the model is to define a hazard level as a dependent variable which is explained by the time-related component (so-called baseline hazard) and the covariates- related component. The model is based on several restrictive assumptions one of which is the assumption of proportional hazard. However, if this assumption is violated, this does not necessarily prevent an analyst from using Cox model. The current paper presents two ways of model modification in the case of non-proportional hazards: introducing interactions of selected covariates with function of time and stratification model. Calculations performed give the evidence that both methods result in better model fit as compared with the original model. Additionally, they allow interpreting the parameters estimates more precisely, taking into account the effect of the covariate at the hazard level that is changing over time. The choice of the appropriate method of tied events handling however is not straightforward and should be adjusted to the particular analysis purpose.
4
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The Survey of Economic Activity of People In Rural Areas - The Analysis Using the Econometric Hazard Models

100%
Landmesser J., Chair of Econometrics and Statistics W. U. o. L. S.
Acta Universitatis Lodziensis. Folia Oeconomica
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2009
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vol. 228
PL
W pracy analizowana jest długość czasu trwania zatrudnienia wśród ludności wiejskiej. Szacując modele hazardu wyznaczamy bezpośrednie ryzyko tego, że zatrudniony przestanie wykonywać swą pracę w danym przedziale czasowym. Modele hazardu pozwalają uwzględniać takie charakterystyki badanych osób, jak płeć, wiek, poziom wykształcenia, miejsce zamieszkania, czy status zatrudnienia jako determinanty dla prawdopodobieństwa zaprzestania zatrudnienia. Wskazujemy różnice w aktywności ekonomicznej ludności wiejskiej w porównaniu z miejską oraz identyfikujemy różnice pomiędzy województwami. W analizie wykorzystujemy dane z Badania Aktywności Ekonomicznej Ludności Polski.
EN
This paper discusses the duration of employment periods in the rural population. Estimating the risk models, the direct risk of leaving the job is calculated. We estimate hazard rate models to assess the effect of such factors as: gender, age, education level, place of residence and employment status, on the individual’s employment duration. We establish differences between economic activity of people in rural and urban areas and those between residents of rural areas from various polish provinces. To estimate, we use data from the Labour Force Survey in Poland.
5
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Scaled Fisher consistency for the partial likelihood estimation in various extensions of the Cox model

100%
Bednarski T., Nowak P. B., Skolimowska-Kulig M.
Statistics in Transition new series
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2022
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vol. 23
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issue 2
185-196
EN
The Cox proportional hazards model has become the most widely used procedure in survival analysis. The theoretical basis of the original model has been developed in various extensions. In the recent years, vital research has been undertaken involving the incorporation of random effects to survival models. In this setting, the random effect is a variable (frailty) which embraces a variation among individuals or groups of individuals which cannot be explained by observable covariates. The right choice of the frailty distribution is essential for an accurate description of the dependence structure present in the data. In this paper, we aim to investigate the accuracy of inference based on the primer Cox model in the existence of unobserved heterogeneity, that is, when the data generating mechanism is more complex than presumed and described by the kind of an extension of the Cox model with undefined frailty. We show that the conventional partial likelihood estimator under the considered extension is Fisher-consistent up to a scaling factor, provided symmetry-type distributional assumptions on covariates. We also present the results of simulation experiments that reveal an exemplary behaviour of the estimators.
6
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Competing risk models of default in the presence of early repayments

88%
Wycinka E.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2019
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issue vol. 23 no. 2
99-128
EN
One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The size of an institution’s credit portfolio can decrease as a result of early repayments, which changes the probability of default over time. Prognosis of the probability of default should therefore also take into consideration the prognosis of early repayments. In this paper, methods of evaluating the probability of default over time, using competing risks regression models, are considered. Methods of evaluation for models of default over time are proposed. A sample of retail credits, provided by a Polish financial institution, was empirically examined.
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Estimation of Employee Turnover with Competing Risks Models

75%
Grzenda W., Buczyński M. K.
Folia Oeconomica Stetinensia
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2015
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vol. 15
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issue 2
53-65
EN
Employee turnover accompanies every business organization, regardless of the industry and size. Nowadays, many companies struggle with problems related to the lack of sufficient information about the nature of employee turnover processes. Therefore, comprehensive analysis of these processes is necessary. This article aims to examine the turnover of employees from a big manufacturing company using competing risks models with covariates and without covariates. This technique allows to incorporate the information about the type of employment contract termination. Moreover, Cox proportional hazard model enables the researcher to analyse simultaneously multiple factors that affect employment duration. One of the major observations is that employee remuneration level differentiates most strongly the risk of job resignation.
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An analysis of job seniority among unemployed. Application of model

63%
Jackowska B., Wycinka E., Uniwersytet Gdański; Wydział Zarządzania; Katedra Statystyki
Acta Universitatis Lodziensis. Folia Oeconomica
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2011
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vol. 255
PL
W artykule wykorzystano metody analizy przeżycia (analizy historii zdarzeń do badania czasu pracy u ostatniego pracodawcy osób długotrwale bezrobotnych. W pierwszym posłużono się analizą Kaplana-Meiera w celu identyfikacji oraz efektywnej kategoryzacji zmiennych determinujących długość okresu ostatniej pracy. W drugim kroku skonstruowano model proporcjonalnego hazardu Coxa. Przy konstrukcji modelu wykorzystano następujące kryteria: test istotności modelu oparty na ilorazie wiarygodności oraz kryteria informacyjne. Szczególną uwagę poświęcono własnościom modelu Coxa w celu zapewnienia poprawności jego stosowania w zagadnieniach społeczno-ekonomicznych.
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Model proporcjonalnego hazardu Coxa jako statystyczna metoda wyznaczania determinant jakości życia w grupie chorych leczonych onkologicznie

63%
Król M. J., Król P. S.
Nierówności społeczne a wzrost gospodarczy
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2015
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vol. 44 cz. 1
283-296
PL
Nieodłączną cechą społeczeństwa informacyjnego jest dbałość o różnorodne aspekty jakości życia. Istnieje wiele metod, w tym statystycznych, służących wyznaczaniu i ocenie wpływu deter-minant (cech) warunkujących jakość życia. W pracy rozpatrywano możliwość zastosowania w tym celu modelu proporcjonalnej intensywności Coxa. Użyto wariantu modelu opisującego zjawiska, w którym zdarzenia niepożądane występują w rozłącznych przedziałach czasowych. Używając estymatorów Kalbfleische’a-Prentice’a wy-znaczono funkcje przeżycia S(x,t) i ryzyka h(x,t) dla badanych jednostek zróżnicowanych wektorem cech endo- i egzogennych. Omawiane funkcje szacowano na przykładzie wyników leczenia onkologicznego grupy chorych na raka głośni. Badano wpływ cech o charakterze demograficznym, społecznym i ekonomicz-nym bezpośrednio na rezultaty terapii, a pośrednio na jakość życia.
EN
An integral feature of the information society is its interest in various aspects of quality of life. There are many methods, including statistical, for identifying and evaluating the impact of those factors (features) which influence quality of life. The study considers the possibility of using the Cox model of proportional intensity for this purpose. Use was made of a variant of the model describing the phenomenon in which adverse events occur in disjointed time intervals. Using Kalbfleische'a-Prentice estimators the survival func-tions S (x, t) and the risk of h (x, t) were determined for the tested units differentiated by endogenous and exogenous features. These functions were estimated based upon the results of treatment of a group of patients suffering from cancer. Research was carried out into the direct influence of demographic, social and economic characteristics on the results of the therapy and indirectly on the quality of life.
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