Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis Prediction
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| 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 | |
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| 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 | |
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| id | DE-604.BV048350969 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:42:21Z |
| institution | BVB |
| isbn | 1451845863 9781451845860 |
| language | English |
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| oclc_num | 1337136330 |
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| 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 |
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