| 000 | 02433nam a22004094a 4500 | ||
|---|---|---|---|
| 001 | WPIEA0392004 | ||
| 003 | IMF | ||
| 005 | 20190405163812.0 | ||
| 006 | m o d | ||
| 007 | cr cn||||||||| | ||
| 008 | 020129s2004 dcu o i00 0 eng d | ||
| 020 |
_a1451845863 : _c15.00 USD |
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| 020 | _z9781451845860 | ||
| 022 | _a1018-5941 | ||
| 024 | 7 |
_a10.5089/9781451845860.001 _2doi |
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| 035 | _a(IMF)WPIEA0392004 | ||
| 040 |
_aDcWaIMF _beng |
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| 100 | 1 | _aBerg, Andrew. | |
| 245 | 1 | 0 |
_aAutocorrelation-Corrected Standard Errors in Panel Probits _h[electronic resource] : _bAn Application to Currency Crisis Prediction / _cAndrew Berg. |
| 260 |
_aWashington, D.C. : _bInternational Monetary Fund, _c2004. |
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| 300 | _a1 online resource (21 p.) | ||
| 490 | 1 |
_aIMF Working Papers; Working Paper ; _vNo. 04/39 |
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| 520 | 3 | _aMany 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 | _aDescription based on print version record. | ||
| 650 | 7 |
_aBootstrap _2imf |
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| 650 | 7 |
_aCorrelation _2imf |
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| 650 | 7 |
_aCurrency Crisis _2imf |
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| 650 | 7 |
_aEarly-Warning Systems _2imf |
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| 650 | 7 |
_aMacroeconomic Aspects of International Trade and Finance: Forecasting and Simulation _2imf |
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| 650 | 7 |
_aPanel Probit _2imf |
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| 651 | 7 |
_aArgentina _2imf |
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| 651 | 7 |
_aTaiwan Province of China _2imf |
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| 700 | 1 | _aCoke, Rebecca N. | |
| 776 | 0 | 8 |
_iPrint Version: _aBerg, Andrew. _tAutocorrelation-Corrected Standard Errors in Panel Probits : An Application to Currency Crisis Prediction _dWashington, D.C. : International Monetary Fund, 2004. _z9781451845860 |
| 830 | 0 |
_aIMF Working Papers; Working Paper ; _vNo. 04/39 |
|
| 856 | 4 | 0 |
_uhttp://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml _zIMF e-Library |
| 856 | 4 | 0 |
_uhttp://www.imfbookstore.org/IMFORG/9781451845860 _zIMF Book Store |
| 999 |
_c152008 _d152008 |
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