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smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to …
Persistent link: https://www.econbiz.de/10005264217
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...
Persistent link: https://www.econbiz.de/10005768958
Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private...
Persistent link: https://www.econbiz.de/10005768990