A likelihood ratio test for stationarity of rating transitions
| dc.contributor.author | Walter, Ronja | |
| dc.contributor.author | Weißbach, Rafael | |
| dc.date.accessioned | 2009-01-13T08:05:43Z | |
| dc.date.available | 2009-01-13T08:05:43Z | |
| dc.date.issued | 2009-01-13T08:05:43Z | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/25993 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-8241 | |
| dc.language.iso | en | de |
| dc.subject | Counting process | en |
| dc.subject | Likelihood ratio | en |
| dc.subject | Multiple Markov process | en |
| dc.subject | Panel data | en |
| dc.subject | Stationarity | en |
| dc.subject.ddc | 004 | |
| dc.title | A likelihood ratio test for stationarity of rating transitions | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |