This paper utilizes two different classification techniques to explore issues in the development of an early warning system for sovereign default. Specifically, the paper develops K-means clustering and logit models to illustrate how the optimal choice of parameters, such as assignment rule of...

This paper assesses the relative merits of panel time series models in forecasting sovereign default. It explores the contentious issue of whether controlling for time-series and country heterogeneity is important in forecasting emerging market default. For this purpose, it uses conventional...

This paper tests for long run PPP using a nonstationary panel regression framework that can accommodate both permanent and temporary shocks. It also uses the common correlated estimator of Pesaran (2003a) to take account of cross sectional dependence. The PPP null in our framework is a unit...