A likelihood ratio test for stationarity of rating transitions

DOI10.1016/j.jeconom.2009.10.016zbMath1431.62340OpenAlexW2020138064MaRDI QIDQ2630206

Rafael Weißbach, Ronja Walter

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.016

zbMATH Keywords

likelihood ratiostationaritycounting processmultiple spellsmultiple Markov process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02)

Related Items (10)

Left-censored dementia incidences in estimating cohort effects ⋮ Nearest neighbor hazard estimation with left-truncated duration data ⋮ Truncating the exponential with a uniform distribution ⋮ Modeling rating transitions with instantaneous default ⋮ Consistent estimation for discretely observed Markov jump processes with an absorbing state ⋮ A mixture of beta-Dirichlet processes prior for Bayesian analysis of event history data ⋮ Consistency for the negative binomial regression with fixed covariate ⋮ Maximum likelihood estimation for left-censored survival times in an additive hazard model ⋮ A score-test on measurement errors in rating transition times ⋮ Modeling rating transitions

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