Two-Step Estimation of Linear Models With Ordinal Unobserved Variables: The Case of Corporate Bonds
提出两步法估计债券契约条款对投资级和投机级公司债券风险与收益率的影响，先用有序Probit估计违约风险，再用条件均值法估计其对收益率的影响。
This article proposes a two-step method for estimating the impact of bond indenture provisions and other financial variables on the risk and yields of investment-grade and speculative corporate bonds. In the first step, the default risk of bonds is estimated as a function of indenture provisions and the characteristics of bonds and the issuing firms by an ordered probit. In the second step, the effects of default risk and bond characteristics on yields are estimated after a measure of bond default risk is obtained by a conditional-mean method.