Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22027
Authors: 
Moura, Guilherme V.
Richard, Jean-François
Liesenfeld, Roman
Year of Publication: 
2007
Series/Report no.: 
Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2007,11
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.
Subjects: 
Panel data
Dynamic discrete choice
Current account reversals
Importance Sampling
Monte Carlo integration
State dependence
JEL: 
C23
F32
C15
C25
Document Type: 
Working Paper

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