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

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  • Moura, Guilherme V.
  • Richard, Jean-François
  • Liesenfeld, Roman

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.

Suggested Citation

  • Moura, Guilherme V. & Richard, Jean-François & Liesenfeld, Roman, 2007. "Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation," Economics Working Papers 2007-11, Christian-Albrechts-University of Kiel, Department of Economics.
    • Handle: RePEc:zbw:cauewp:5584
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    Cited by:

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    3. Rodrigo Zeidan, 2014. "Voluntary corporate governance with an empirical application," Applied Financial Economics, Taylor & Francis Journals, vol. 24(12), pages 837-851, June.

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    More about this item

    Keywords

    Panel data; Dynamic discrete choice; Current account reversals; Importance Sampling; Monte Carlo integration; State dependence;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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