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 SizeFormat 
tr27-08.pdfDNB230.69 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.