European Parliament Library

Autocorrelation-Corrected Standard Errors in Panel Probits :, An Application to Currency Crisis Prediction, Andrew Berg, Rebecca Coke

Contributor
Abstract
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
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. EMPIRICAL FRAMEWORK ""; ""III. MONTE CARLO SIMULATIONS""; ""IV. ESTIMATION OF CURRENCY CRISIS DATA""; ""V. CONCLUSION""; ""REFERENCES""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (21 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462333905

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