A likelihood ratio test for stationarity of rating transitions

Journal of Econometrics

Volumn 155, Issue 2, 2010, Pages 188-194

  Weißbach, Rafael ^a   Walter, Ronja ^b  

^a UNIVERSITY OF ROSTOCK   (Germany)

^b TU DORTMUND UNIVERSITY   (Germany)

Author keywords

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

Indexed keywords

COUNTING PROCESS; DATA SETS; INSTATIONARITY; INTENSITY MODELS; LIKELIHOOD RATIO; LIKELIHOOD RATIO TESTS; LIKELIHOOD RATIOS; PARAMETER ESTIMATE; PARTIAL LIKELIHOODS; STATIONARITY;

MARKOV PROCESSES;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 77649275272     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.10.016     Document Type: Article

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