Logit versus discriminant analysis: A specification test and application to corporate bankruptcies☆
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This is a revised version of Chapter 4 of my dissertation. I am grateful to Craig MacKinlay, Whitney Newey, and two anonymous referees for many helpful comments. I would like to thank Chris Cavanagh, Jerry Hausman, Daniel McFadden, and Jim Powell for comments on an earlier version of this paper. I also thank Data Resources Inc. for use of their computing facilities and Stephanie Hogue, Gillian Speeth, and Madhavi Vinjamuri for preparing the manuscript. The National Science Foundation and the Alfred P. Sloan Foundation provided much appreciated financial support. Any errors are of course my own.
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