Funkcja diagnostyczno-prognostyczna porządkowych modeli logitowych kwartalnej stopy zwrotu dla spółek z sektora budownictwo
Diagnostic and prognostic function of ordinal logit models of quarterly rate of return

Summary/Abstract: In the previous works the Authors proposed application of ordinal logit models to forecasting the belongingness of the firms noted on Warsaw Stock Exchange to one of the category of rate of return. The dependent variable - rate of return - was transformed into variable measured on ordinal scale (four categories). Four economic-financial ratios (chosen apriori) were explanatory variables. The first aim of this paper was identification of the best set of explanatory variables chosen by means of Hellwig's method, stepwise regression and comparing the quality of different estimated models. The second aim of the paper was analysis of effectiveness of forecasts computed for periods of the boom and the fall in stock market. The quarterly data concerned the firms from Construction Sector noted on Warsaw Stock Exchange. Models were estimated on the base of period 1998-2011 and forecasts were computed for the first quarter of 2012.

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