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Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction

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 publ...

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Bibliographic Details
Main Author: Berg, Andrew
Other Authors: Coke, Rebecca
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2004
Series:IMF Working Papers
Subjects:
Export Performance
Capital And Ownership Structure
Financial Risk Management
Currency
Crisis Management
Simulation Methods
Exports
Value Of Firms
Economic & Financial Crises & Disasters
Foreign Exchange
Econometrics
Exports And Imports
International Economics
Macroeconomic Aspects Of International Trade And Finance: Forecasting And Simulation
Econometrics & Economic Statistics
Financing Policy
Currency Crises
Trade: General
Financial Risk And Risk Management
Dynamic Quantile Regressions
Goodwill
Dynamic Treatment Effect Models
Econometric Models
International Trade
Estimation Techniques
Diffusion Processes
Single Variables: Discrete Regression And Qualitative Choice Models
Single Equation Models
Financial Crises
Early Warning Systems
Real Exchange Rates
Estimation
Macroeconomics
Panel Data Models
Spatio-temporal Models
Econometric Analysis
Time-series Models
Argentina
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:21 pages
ISBN:9781451845860

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