High-dimensional censored MIDAS logistic regression for corporate survival forecasting

Code

• github.com/Wei-M-Wei/Survivalml
  Officialnone★ 5

Abstract

This paper addresses the challenge of forecasting corporate distress, a problem marked by three key statistical hurdles: (i) right censoring, (ii) high-dimensional predictors, and (iii) mixed-frequency data. To overcome these complexities, we introduce a novel high-dimensional censored MIDAS (Mixed Data Sampling) logistic regression. Our approach handles censoring through inverse probability weighting and achieves accurate estimation with numerous mixed-frequency predictors by employing a sparse-group penalty. We establish finite-sample bounds for the estimation error, accounting for censoring, the MIDAS approximation error, and heavy tails. The superior performance of the method is demonstrated through Monte Carlo simulations. Finally, we present an extensive application of our methodology to predict the financial distress of Chinese-listed firms. Our novel procedure is implemented in the R package 'Survivalml'.

Tasks

Reproductions