| Description |
1 online resource (20 pages) : illustrations |
| Series |
IMF working paper ; WP/04/39 |
|
IMF working paper ; WP/04/39.
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| Contents |
""Contents""; ""I. INTRODUCTION""; ""II. EMPIRICAL FRAMEWORK ""; ""III. MONTE CARLO SIMULATIONS""; ""IV. ESTIMATION OF CURRENCY CRISIS DATA""; ""V. CONCLUSION""; ""REFERENCES"" |
| 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 |
| Bibliography |
Includes bibliographical references (pages 18-20) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
|
Print version record |
| Subject |
Financial crises -- Forecasting
|
|
Panel analysis.
|
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Probits.
|
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Currency crises -- Forecasting
|
|
Panel analysis
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Probits
|
| Form |
Electronic book
|
| Author |
Coke, Rebecca N., author.
|
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International Monetary Fund. Research Department, issuing body.
|
| ISBN |
1281602469 |
|
9781281602466 |
|
1451893205 |
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9781451893205 |
|
9781451845860 |
|
1451845863 |
| ISSN |
2227-8885 |
|
