A likelihood ratio test for stationarity of rating transitions
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References listed on IDEAS
- Kiefer, Nicholas M., 1985. "Specification diagnostics based on Laguerre alternatives for econometric models of duration," Journal of Econometrics, Elsevier, vol. 28(1), pages 135-154, April.
- L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters,in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
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More about this item
KeywordsStationarity; Multiple Markov process; Counting process; Likelihood ratio; Panel data;
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
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