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150128 ||| eng |
| 020 |
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|a 9781451845860
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| 100 |
1 |
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|a Berg, Andrew
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| 245 |
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0 |
|a Autocorrelation-Corrected Standard Errors in Panel Probits
|b An Application to Currency Crisis Prediction
|c Andrew Berg, Rebecca Coke
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2004
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| 300 |
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|a 21 pages
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| 651 |
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4 |
|a Argentina
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| 653 |
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|a Dynamic Treatment Effect Models
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| 653 |
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|a Financial crises
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| 653 |
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|a Exports and Imports
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| 653 |
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|a Spatio-temporal Models
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| 653 |
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|a Simulation Methods
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| 653 |
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|a Time-Series Models
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| 653 |
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|a Estimation
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| 653 |
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|a Foreign Exchange
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| 653 |
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|a Currency crises
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| 653 |
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|a International trade
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| 653 |
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|a Capital and Ownership Structure
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| 653 |
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|a Goodwill
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| 653 |
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|a Macroeconomics
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| 653 |
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|a Estimation techniques
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| 653 |
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|a Econometrics
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| 653 |
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|a Early warning systems
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| 653 |
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|a Financial Risk and Risk Management
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| 653 |
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|a Financing Policy
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| 653 |
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|a Financial Risk Management
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| 653 |
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|a Econometrics & economic statistics
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| 653 |
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|a Foreign exchange
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| 653 |
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|a Economic & financial crises & disasters
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| 653 |
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|a Single Equation Models
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| 653 |
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|a Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation
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| 653 |
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|a Econometric analysis
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| 653 |
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|a Single Variables: Discrete Regression and Qualitative Choice Models
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| 653 |
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|a Value of Firms
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| 653 |
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|a Currency
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| 653 |
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|a Crisis management
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| 653 |
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|a Diffusion Processes
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| 653 |
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|a Trade: General
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| 653 |
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|a International economics
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| 653 |
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|a Export performance
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| 653 |
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|a Econometric models
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| 653 |
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|a Exports
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| 653 |
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|a Panel Data Models
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| 653 |
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|a Real exchange rates
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| 653 |
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|a Dynamic Quantile Regressions
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| 700 |
1 |
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|a Coke, Rebecca
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
0 |
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|a IMF Working Papers
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| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2004/039/001.2004.issue-039-en.xml?cid=17198-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
0 |
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|a 330
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| 520 |
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|a 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
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