Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis PredictionAndrew Berg () and Rebecca Coke No 2004/039, IMF Working Papers from International Monetary Fund 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. Keywords: WP; Currency crisis; early-warning systems; serial correlation; panel probit; standard error estimate; coefficient estimate; bootstrap estimate; bootstrap estimator; HAC estimate; covariance estimator; Currency crises; Early warning systems; Export performance; Real exchange rates; Estimation techniques (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2004/039 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC. |
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