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Title:A likelihood ratio test for stationarity of rating transitions PDF Logo
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: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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