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spb/wp29_uqo

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1{2  "task_id": "F1-conf-03",3  "n_analysed": 1800,4  "n_firms": 300,5  "predictors_used": [6    "leverage",7    "cash_ratio",8    "log_sales"9  ],10  "variables_excluded": [11    {12      "variable": "rating_2025",13      "reason": "known only in 2025; built from realised default history through 2022 and sample-average leverage, so it leaks future outcomes (violates end-of-year-t availability)"14    },15    {16      "variable": "default_next",17      "reason": "outcome variable (known end of t+1); used as dependent variable, not predictor"18    },19    {20      "variable": "firm_id",21      "reason": "identifier; used only for clustering"22    },23    {24      "variable": "year",25      "reason": "origin-year index; not in specified model"26    }27  ],28  "beta_leverage": 0.2637836102938267,29  "se_leverage_cluster": 0.0407569280434615,30  "r2": 0.03490564212216729,31  "default_rate": 0.12111111111111111,32  "feasibility": "complete",33  "feasibility_reason": null,34  "data_issues": [35    {36      "issue": "40 exact duplicate rows (same firm_id-year, all fields identical)",37      "handling": "removed, keeping one copy per firm-year"38    },39    {40      "issue": "300 firm-years with missing default_next (origin years [2022]; outcome year 2023 beyond data cut)",41      "handling": "excluded from estimation; not imputed"42    },43    {44      "issue": "rating_2025 is a final-vintage (2025) field derived from realised defaults through 2022 and average sample leverage",45      "handling": "excluded from analytic dataset and model (information rule)"46    },47    {48      "issue": "default is not absorbing: 56 firms have default_next=1 in more than one year",49      "handling": "kept as given (default treated as a repeatable annual event); noted as limitation"50    }51  ],52  "n_input_rows": {53    "firm_panel.csv": 214054  },55  "random_seed": null,56  "_extra": {57    "coef": {58      "const": 0.08997926409935522,59      "leverage": 0.2637836102938267,60      "cash_ratio": -0.18594837465723182,61      "log_sales": -0.00734218180758136362    },63    "se_cluster": {64      "const": 0.04351602070943679,65      "leverage": 0.0407569280434615,66      "cash_ratio": 0.0588860837664576,67      "log_sales": 0.00762610651453190568    },69    "ci95_leverage": [70      0.18390149920815163,71      0.3436657213795017472    ],73    "p_leverage": 9.663918872288981e-11,74    "cov_type": "cluster by firm_id (statsmodels default small-sample correction)"75  }76}
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