Authors: Walter, Ronja
Weißbach, Rafael
Title: A likelihood ratio test for stationarity of rating transitions
Language (ISO): en
Abstract: For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter estimates can be represented as martingale transform of the processes counting transitions between the rating states. As a consequence, the profile partial likelihood ratio is asymptotically x^2-distributed. An internal rating data set reveals highly significant instationarity.
Subject Headings: Counting process
Likelihood ratio
Multiple Markov process
Panel data
Issue Date: 2009-01-13T08:05:43Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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