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A likelihood ratio test for stationarity of rating transitions

[journal article]

Weißbach, Rafael
Walter, Ronja

Abstract

"We study the time-stationarity of rating transitions, modelled by a time-continuous discrete-state Markov process and derive a likelihood ratio test. For multiple Markov processes from a multiplicative intensity model, maximum likelihood parameter estimates can be written as martingale transform of... view more

"We study the time-stationarity of rating transitions, modelled by a time-continuous discrete-state Markov process and derive a likelihood ratio test. For multiple Markov processes from a multiplicative intensity model, maximum likelihood parameter estimates can be written as martingale transform of the processes, counting transitions between the rating states, so that the profile partial likelihood ratio is asymptotically χ2-distributed. An application to an internal rating data set reveals highly significant instationarity." [author's abstract]... view less

Classification
Economic Statistics, Econometrics, Business Informatics

Free Keywords
Stationarity; Multiple markov process; Counting process; Likelihood ratio; Multiple spells

Document language
English

Publication Year
2009

Page/Pages
p. 188-194

Journal
Journal of Econometrics, 155 (2009) 2

DOI
https://doi.org/10.1016/j.jeconom.2009.10.016

Status
Postprint; peer reviewed

Licence
PEER Licence Agreement (applicable only to documents from PEER project)


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.