data_mvord: Simulated credit ratings

In mvord: Multivariate Ordinal Regression Models

Simulated credit ratings

Description

A simulated data set where three different raters (rater1, rater2 and rater3) assign ordinal ratings on different firms. rater3 uses a different rating scale compared to rater1 and rater2, i.e., the number of threshold categories is different. For each firm we simulate five different covariates X1, ..., X5 from a standard normal distribution. Additionally, each firm is randomly assigned to a business sector (sector X, Y or Z), captured by the covariate X6. Furthermore, we simulate multivariate normally distributed errors. For a given set of parameters we obtain the three rating variables for each firm by slotting the latent scores according to the corresponding threshold parameters. The IDs for each subject i of the n = 1000 firms are stored in the column firm_id. The IDs of the raters are stored in the column rater_id. The ordinal ratings are provided in the column rating and all the covariates in the remaining columns. Overall, the data set has 3000 rows, for each of the n = 1000 firms it has three rating observations.

Usage

data("data_mvord", package = "mvord")

Format

A data frame with 3000 rows and 9 variables

Details

• firm_id firm index

• rater_id rater index

• rating ordinal credit ratings

• X1 covariate X1

• X2 covariate X2

• X3 covariate X3

• X4 covariate X4

• X5 covariate X5

• X6 covariate X6 (factor)

mvord documentation built on Sept. 11, 2024, 7:21 p.m.