Arbeitspapier
A likelihood ratio test for stationarity of rating transitions
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2008,27
- Klassifikation
-
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models
Duration Analysis; Optimal Timing Strategies
- Thema
-
Stationarity
Multiple Markov process
Counting process
Likelihood ratio
Panel data
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Weißbach, Rafael
Walter, Ronja
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Weißbach, Rafael
- Walter, Ronja
- Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2008
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