A Comparison of Variables Selection Methods and their Sequential Application: A Case Study of the Bankruptcy of Polish Companies
Zanka Mikhail ()
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Zanka Mikhail: University of Warsaw, Faculty of Mathematics, Informatics and Mechanics, Institute of Informatics, Banacha 2, 02-097Warsaw, Poland
Folia Oeconomica Stetinensia, 2020, vol. 20, issue 1, 531-543
Research background: Even though in recent decades, a lot of new techniques were developed, there is still a lack of studies aimed at comparing the performance of variable selection methods. Bankruptcy prediction is an excellent example of the conservative research field with the tendency to use classical approaches. Although the results of studies in this field are directly applied in banks and other financial institutions, variables selected for these models can be biased by the author’s preference for one technique.
Keywords: Variable Selection; Ensemble Models; Bayesian Model Averaging; LASSO; Bankruptcy Prediction (search for similar items in EconPapers)
JEL-codes: C51 C52 C53 G33 M21 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:20:y:2020:i:1:p:531-543:n:31
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