|
EconStor >
Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/36578
|
| | |
| Title: | | A likelihood ratio test for stationarity of rating transitions  |
| Authors: | | Weißbach, Rafael Walter, Ronja |
| Issue Date: | | 2008 |
| Series/Report no.: | | Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2008,27 |
| 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. |
| Subjects: | | Stationarity Multiple Markov process Counting process Likelihood ratio Panel data |
| JEL: | | C33 C34 C41 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/36578
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|