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A likelihood ratio test for stationarity of rating transitions

[Zeitschriftenartikel]

Weißbach, Rafael; Walter, Ronja

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-268513

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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 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]
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Stationarity; Multiple markov process; Counting process; Likelihood ratio; Multiple spells
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 188-194
Zeitschriftentitel Journal of Econometrics, 155 (2009) 2
DOI http://dx.doi.org/10.1016/j.jeconom.2009.10.016
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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