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 Stationarity |
URI: | http://hdl.handle.net/2003/25993 http://dx.doi.org/10.17877/DE290R-8241 |
Issue Date: | 2009-01-13T08:05:43Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr27-08.pdf | DNB | 230.69 kB | Adobe PDF | View/Open |
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