Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis Prediction
Gespeichert in:
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV048350969 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220713s2004 xx o|||| 00||| eng d | ||
| 020 | |a 1451845863 |c 15.00 USD |9 1-451-84586-3 | ||
| 020 | |a 9781451845860 |c 15.00 USD |9 978-1-451-84586-0 | ||
| 035 | |a (ZDB-1-IMF)845908820 | ||
| 035 | |a (OCoLC)1337136330 | ||
| 035 | |a (DE-599)BVBBV048350969 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-20 |a DE-824 |a DE-70 |a DE-155 |a DE-29 |a DE-22 |a DE-473 |a DE-1102 |a DE-703 |a DE-859 |a DE-706 |a DE-384 |a DE-860 |a DE-19 |a DE-739 |a DE-355 |a DE-Aug4 |a DE-1049 |a DE-12 |a DE-91 | ||
| 100 | 1 | |a Berg, Andrew |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Autocorrelation-Corrected Standard Errors in Panel Probits |b An Application to Currency Crisis Prediction |c Berg, Andrew |
| 264 | 1 | |a Washington, D.C |b International Monetary Fund |c 2004 | |
| 300 | |a 1 Online-Ressource (21 p) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a IMF Working Papers |v Working Paper No. 04/39 | |
| 520 | 3 | |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 | |
| 533 | |a Online-Ausg | ||
| 700 | 1 | |a Coke, Rebecca N. |e Sonstige |4 oth | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-1-IMF | ||
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-033730237 | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-20 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-824 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-70 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-155 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-29 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-22 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-473 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-1102 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-703 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-859 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-706 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-384 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-860 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-19 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-739 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-355 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-Aug4 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-1049 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-12 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |l DE-91 |p ZDB-1-IMF |x Verlag |3 Volltext | |
Datensatz im Suchindex
| DE-BY-TUM_katkey | 2673923 |
|---|---|
| _version_ | 1821936413273227264 |
| any_adam_object | |
| author | Berg, Andrew |
| author_facet | Berg, Andrew |
| author_role | aut |
| author_sort | Berg, Andrew |
| author_variant | a b ab |
| building | Verbundindex |
| bvnumber | BV048350969 |
| collection | ZDB-1-IMF |
| ctrlnum | (ZDB-1-IMF)845908820 (OCoLC)1337136330 (DE-599)BVBBV048350969 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05134nam a2200589 cb4500</leader><controlfield tag="001">BV048350969</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220713s2004 xx o|||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1451845863</subfield><subfield code="c">15.00 USD</subfield><subfield code="9">1-451-84586-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781451845860</subfield><subfield code="c">15.00 USD</subfield><subfield code="9">978-1-451-84586-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-1-IMF)845908820</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1337136330</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048350969</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-20</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-70</subfield><subfield code="a">DE-155</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-22</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-1102</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-859</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-860</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-Aug4</subfield><subfield code="a">DE-1049</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-91</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Berg, Andrew</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Autocorrelation-Corrected Standard Errors in Panel Probits</subfield><subfield code="b">An Application to Currency Crisis Prediction</subfield><subfield code="c">Berg, Andrew</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Washington, D.C</subfield><subfield code="b">International Monetary Fund</subfield><subfield code="c">2004</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (21 p)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">IMF Working Papers</subfield><subfield code="v">Working Paper No. 04/39</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="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</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="a">Online-Ausg</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Coke, Rebecca N.</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-IMF</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033730237</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-20</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-824</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-70</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-155</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-29</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-22</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-473</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-1102</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-703</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-859</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-706</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-384</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-860</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-19</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-739</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-355</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-Aug4</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-1049</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-12</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml</subfield><subfield code="l">DE-91</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV048350969 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:42:21Z |
| institution | BVB |
| isbn | 1451845863 9781451845860 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033730237 |
| oclc_num | 1337136330 |
| open_access_boolean | |
| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| owner_facet | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (21 p) |
| psigel | ZDB-1-IMF |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers |
| spellingShingle | Berg, Andrew Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction |
| title | Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction |
| title_auth | Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction |
| title_exact_search | Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction |
| title_full | Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction Berg, Andrew |
| title_fullStr | Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction Berg, Andrew |
| title_full_unstemmed | Autocorrelation-Corrected Standard Errors in Panel Probits An Application to Currency Crisis Prediction Berg, Andrew |
| title_short | Autocorrelation-Corrected Standard Errors in Panel Probits |
| title_sort | autocorrelation corrected standard errors in panel probits an application to currency crisis prediction |
| title_sub | An Application to Currency Crisis Prediction |
| url | http://elibrary.imf.org/view/IMF001/00512-9781451845860/00512-9781451845860/00512-9781451845860.xml |
| work_keys_str_mv | AT bergandrew autocorrelationcorrectedstandarderrorsinpanelprobitsanapplicationtocurrencycrisisprediction AT cokerebeccan autocorrelationcorrectedstandarderrorsinpanelprobitsanapplicationtocurrencycrisisprediction |