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A likelihood ratio test for stationarity of rating transitions
[Zeitschriftenartikel]
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... mehr
"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]... weniger
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
https://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)