Autocorrelation-Corrected Standard Errors in Panel Probits (Record no. 152008)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02433nam a22004094a 4500 |
| 001 - CONTROL NUMBER | |
| control field | WPIEA0392004 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | IMF |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190405163812.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 020129s2004 dcu o i00 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1451845863 : |
| Terms of availability | 15.00 USD |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781451845860 |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 1018-5941 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.5089/9781451845860.001 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (IMF)WPIEA0392004 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DcWaIMF |
| Language of cataloging | eng |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Berg, Andrew. |
| 245 10 - TITLE STATEMENT | |
| Title | Autocorrelation-Corrected Standard Errors in Panel Probits |
| Medium | [electronic resource] : |
| Remainder of title | An Application to Currency Crisis Prediction / |
| Statement of responsibility, etc | Andrew Berg. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Washington, D.C. : |
| Name of publisher, distributor, etc | International Monetary Fund, |
| Date of publication, distribution, etc | 2004. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (21 p.) |
| 490 1# - SERIES STATEMENT | |
| Series statement | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 04/39 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc | Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously published EWS estimates. We find that (1) the uncorrected probit estimates substantially underestimate the true standard errors, by up to a factor of four; (2) a heteroskedasicity- and autocorrelation-corrected (HAC) procedure produces accurate estimates; and (3) most variables from the original models remain significant, though substantially less so than had been previously thought. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on print version record. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bootstrap |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Correlation |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Currency Crisis |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Early-Warning Systems |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Panel Probit |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Argentina |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Taiwan Province of China |
| Source of heading or term | imf |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Coke, Rebecca N. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print Version: |
| Main entry heading | Berg, Andrew. |
| Title | Autocorrelation-Corrected Standard Errors in Panel Probits : An Application to Currency Crisis Prediction |
| Place, publisher, and date of publication | Washington, D.C. : International Monetary Fund, 2004. |
| International Standard Book Number | 9781451845860 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 04/39 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</a> |
| Public note | IMF e-Library |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://www.imfbookstore.org/IMFORG/9781451845860">http://www.imfbookstore.org/IMFORG/9781451845860</a> |
| Public note | IMF Book Store |
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