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Challenging the Empirical Evidence From Present Value Models of the Current Account, Jacques Miniane, Benoît Mercereau

Abstract
Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data we find that: (i) the Wald test often leads to the wrong inference compared to a valid test; (ii) in all cases posterior distributions of the predicted series and associated correlation coefficients and variance ratios are very wide. In particular, one cannot draw any firm conclusion regarding excess current account volatility
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. TESTING THE PRESENT VALUE MODEL""; ""III. EMPIRICAL RESULTS""; ""IV. CONCLUDING REMARKS""; ""REFERENCES""; ""DATA APPENDIX""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (30 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9786613782090

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