Walter, RonjaWeißbach, Rafael2009-01-132009-01-132009-01-13http://hdl.handle.net/2003/25993http://dx.doi.org/10.17877/DE290R-8241For 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.enCounting processLikelihood ratioMultiple Markov processPanel dataStationarity004Text