Konferenzbeitrag
A score-test on measurement errors in rating transition times
We model credit rating histories as continuous-time discrete-state Markov processes. Infrequent monitoring of the debtors' solvency will result in erroneous observations of the rating transition times, and consequently in biased parameter estimates. We develop a score test against such measurement errors in the transition data that is independent of the error distribution. We derive the asymptotic chi-square distribution for the test statistic under the null by stochastic limit theory. The test is applied to an international corporate portfolio, while accounting for economic and debtor-specific covariates. The test indicates that measurement errors in the transition times are a real problem in practice.
- Sprache
-
Englisch
- Erschienen in
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Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Econometric Theory ; No. C20-V3
- Klassifikation
-
Wirtschaft
Duration Analysis; Optimal Timing Strategies
Model Evaluation, Validation, and Selection
Bankruptcy; Liquidation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rafael Weißbach, Rafael
Voß, Sebastian
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel und Hamburg
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Rafael Weißbach, Rafael
- Voß, Sebastian
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2014
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