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  • PLUM - Ordinal Regression Model for Bond Ratings

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    Anastasia Wijaya
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    This document provides information about an ordinal regression model that predicts bond ratings (dependent variable with 3 levels) based on 4 financial ratios as predictor variables. The model fits the data well with a significant chi-square value. Parameter estimates show significant effects for the ROA and DER predictor variables. Tests suggest the location parameters may not be equal across response categories. Descriptive statistics are also provided for the variables.

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    Original Title

    PLUM 1-5

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    This document provides information about an ordinal regression model that predicts bond ratings (dependent variable with 3 levels) based on 4 financial ratios as predictor variables. The model fits the data well with a significant chi-square value. Parameter estimates show significant effects for the ROA and DER predictor variables. Tests suggest the location parameters may not be equal across response categories. Descriptive statistics are also provided for the variables.

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    © All Rights Reserved
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    31 views3 pages

    PLUM - Ordinal Regression Model for Bond Ratings

    Uploaded by

    Anastasia Wijaya
    This document provides information about an ordinal regression model that predicts bond ratings (dependent variable with 3 levels) based on 4 financial ratios as predictor variables. The model fits the data well with a significant chi-square value. Parameter estimates show significant effects for the ROA and DER predictor variables. Tests suggest the location parameters may not be equal across response categories. Descriptive statistics are also provided for the variables.

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    © All Rights Reserved
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    of 3

    PLUM - Ordinal Regression

    Warnings
    There are 180 (66.7%) cells (i.e., dependent variable levels by
    observed combinations of predictor variable values) with zero
    frequencies.

    Case Processing Summary


    Marginal
    N Percentage
    Peringkat Obligasi BBB 6 6.7%
    A 42 46.7%
    AAA, AA 42 46.7%
    Valid 90 100.0%
    Missing 0
    Total 90

    Model Fitting Information


    -2 Log
    Model Likelihood Chi-Square df Sig.
    Intercept Only 160.536
    Final 129.484 31.052 4 .000
    Link function: Logit.

    Goodness-of-Fit
    Chi-Square df Sig.
    Pearson 158.568 174 .793
    Deviance 129.484 174 .995
    Link function: Logit.
    Pseudo R-Square
    Cox and Snell .292
    Nagelkerke .351
    McFadden .193
    Link function: Logit.

    Parameter Estimates
    95% Confidence Interval
    Estimate Std. Error Wald df Sig. Lower Bound Upper Bound
    Threshold [PeringkatObligasi = 3] -3.865 .992 15.173 1 .000 -5.810 -1.920
    [PeringkatObligasi = 4] -.404 .803 .252 1 .615 -1.978 1.171
    Location X1ROA 33.393 10.106 10.918 1 .001 13.586 53.201
    X2DER -.570 .271 4.425 1 .035 -1.102 -.039
    X3TATO .259 .439 .349 1 .555 -.601 1.120
    X4CR -.904 .320 7.981 1 .005 -1.531 -.277
    Link function: Logit.

    Test of Parallel Linesa


    -2 Log
    Model Likelihood Chi-Square df Sig.
    Null Hypothesis 129.484
    General 120.310 9.174 4 .057
    The null hypothesis states that the location parameters (slope coefficients) are
    the same across response categories.
    a. Link function: Logit.
    Descriptive Statistics
    N Minimum Maximum Mean Std. Deviation
    Peringkat Obligasi 90 3 5 4.40 .614
    X1 (ROA) 90 . . . .
    0016592281776 1647538340621 0495343211600 0343482898004
    42 91 61 61
    X2 (DER) 90 . 5.07893083911 1.39438652149 .
    4046445488635 5690 5941 9403991118144
    92 82
    X3 (TATO) 90 . 3.51873952597 . .
    1126575933849 9169 6603600933582 6674318621930
    18 28 80
    X4 (CR) 90 . 5.98914874688 1.71057591324 .
    3800931717895 4242 0960 9613616929880
    20 38
    Valid N (listwise) 90

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