TY  - BOOK
AU  - Berg,Andrew
AU  - Coke,Rebecca N.
TI  - Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis Prediction 
T2  - IMF Working Papers; Working Paper
SN  - 1451845863 :
SN  - 1018-5941
PY  - 2004///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Bootstrap
KW  - imf
KW  - Correlation
KW  - Currency Crisis
KW  - Early-Warning Systems
KW  - Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation
KW  - Panel Probit
KW  - Argentina
KW  - Taiwan Province of China
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451845860
ER  -