A likelihood ratio test for stationarity of rating transitions

Weißbach, Rafael; Walter, Ronja

[journal article]

dc.contributor.author	Weißbach, Rafael	de
dc.contributor.author	Walter, Ronja	de
dc.date.accessioned	2011-10-15T02:51:00Z	de
dc.date.accessioned	2012-08-29T23:11:10Z
dc.date.available	2012-08-29T23:11:10Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/26851
dc.description.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]	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Stationarity; Multiple markov process; Counting process; Likelihood ratio; Multiple spells
dc.title	A likelihood ratio test for stationarity of rating transitions	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Econometrics	de
dc.source.volume	155	de
dc.publisher.country	GBR
dc.source.issue	2	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-268513	de
dc.date.modified	2011-11-10T16:11:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	188-194
internal.identifier.classoz	10905
internal.identifier.journal	195	de
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1016/j.jeconom.2009.10.016	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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