Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation

Guilherme Moura (), Jean-Francois Richard and Roman Liesenfeld

No 2007-11, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Abstract: We use panel probit models with unobserved heterogeneity and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood evaluation of these models requires high-dimensional integration for which we use a generic procedure known as Efficient Importance Sampling (EIS). Our empirical results suggest that current account balance, terms of trades, foreign reserves and concessional debt are important determinants of the probability of current-account reversal. Furthermore we find under all specifications evidence for serially correlated error components and weak evidence for state dependence.

Keywords: Panel data; Dynamic discrete choice; Current account reversals; Importance Sampling; Monte Carlo integration; State dependence (search for similar items in EconPapers)
JEL-codes: C15 C23 C25 F32 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-cba, nep-dcm, nep-ecm and nep-ifn
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Citations: View citations in EconPapers (3)

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Working Paper: Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:5584

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