Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27739
Authors: 
Liesenfeld, Roman
Moura, Guilherme V.
Richard, Jean-François
Year of Publication: 
2009
Series/Report no.: 
Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2009,04
Abstract: 
We use panel probit models with unobserved heterogeneity, state-dependence 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-based inference of these models requires high-dimensional integration for which we use Efficient Importance Sampling (EIS). Our results suggest that current account balance, terms of trades, foreign reserves and concessional debt are important determinants of current-account reversal. Furthermore, we find strong evidence for serial dependence in the occurrence of reversals. While the likelihood criterion suggest that state-dependence and serially correlated errors are essentially observationally equivalent, measures of predictive performance provide support for the hypothesis that the serial dependence is mainly due to serially correlated country-specific shocks related to local political or macroeconomic events.
Subjects: 
Panel data
dynamic discrete choice
importance sampling
Monte Carlo integration
state dependence
spillover effects
JEL: 
C15
C23
C25
F32
Document Type: 
Working Paper

Files in This Item:
File
Size
515.82 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.