Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/36578
Authors: 
Weißbach, Rafael
Walter, Ronja
Year of Publication: 
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

Files in This Item:
File
Size
245.88 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.