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01807cas a2200253 a 4500 |
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AALejournalIMF002883 |
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|c 5.00 USD
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|z 9781451845860
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Berg, Andrew.
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|a Autocorrelation-Corrected Standard Errors in Panel Probits :
|b An Application to Currency Crisis Prediction /
|c Andrew Berg, Rebecca Coke.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2004.
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|a 1 online resource (21 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|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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|a Mode of access: Internet
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|a Coke, Rebecca.
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|a IMF Working Papers; Working Paper ;
|v No. 2004/039
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2004/039/001.2004.issue-039-en.xml
|z IMF e-Library
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