Li, Kai, "Bayesian Analysis of Duration Models: An Application to Chapter 11 Bankruptcy", Economics Letters, Vol. 63, No. 3, (June 1999), pp. 305-312.

Abstract: We develop a Bayesian approach to estimating duration models and apply it to the default data of high yield bonds.  The instantaneous probability of a firm completing Chapter 11 increases up to the twenty-first month in Chapter 11 then declines towards zero.

JEL Classification: C41, G33.

Keywords: Duration models, Bayesian inference, Laplace approximation, Chapter 11 bankruptcy, High yield bonds.

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