Compatibility of multi‐wave panel data and the continuous‐time homogeneous Markov chain. An analysis of a continuous‐time process by means of discrete‐time longitudinal observations

Philippe Carette

Applied Stochastic Models and Data Analysis, 1998, vol. 14, issue 3, 219-228

Abstract: Multi‐wave panel data are observations at two or more points in time on a continuously changing attribute of interest (e.g. behaviour). In this paper, the adequacy of the continuous‐time homogeneous Markov chain (CTHMC) model is assessed for describing the process of change underlying such data. In the case of equidistant observational times, it may happen that the maximum‐likelihood estimate of the transition probability matrix between successive observational times from these data cannot arise from a CTHMC. It is investigated whether this event can be ascribed to chance through the introduction of an hypothesis test. © 1998 John Wiley & Sons, Ltd.

Date: 1998
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https://doi.org/10.1002/(SICI)1099-0747(199809)14:33.0.CO;2-5

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:14:y:1998:i:3:p:219-228

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