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Tests of the present-value model of the current account: a note

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Author Info
Hafedh Bouakez
Takashi Kano

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Abstract

Using a Monte Carlo approach, we evaluate the small-sample properties of four different tests of the present-value model (PVM) of the current account: the nonlinear Wald, linear Wald, Lagrange multiplier and likelihood ratio tests. We find that the nonlinear Wald test is biased towards over-rejecting the cross-equation restrictions implied by the PVM, and that the test statistic is uncorrelated with the goodness of fit of the PVM. The three alternative tests are essentially equivalent and are more reliable in evaluating the PVM.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850701367288&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 16 (2009)
Issue (Month): 12 ()
Pages: 1215-1219
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Handle: RePEc:taf:apeclt:v:16:y:2009:i:12:p:1215-1219

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This page was last updated on 2009-12-5.

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