EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/22027/1/EWP-2007-11.pdf (application/pdf)

Related works:
Working Paper: Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:5584

Access Statistics for this paper

More papers in Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2023-11-08
Handle: RePEc:zbw:cauewp:5584