A likelihood ratio test for stationarity of rating transitions

作者：Weis**ach Rafael^*; Walter Ronja

来源：Journal of Econometrics, 2010, 155(2): 188-194.

DOI：10.1016/j.jeconom.2009.10.016

• Stationarity
• Multiple Markov process
• Counting process
• Likelihood ratio
• Multiple spells

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 chi(2)-distributed. An application to an internal rating data set reveals highly significant instationarity.

• 出版日期2010-4