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Challenging the Empirical Evidence From Present Value Models of the Current Account / Jacques Miniane, Benoît Mercereau.
- Format:
- Book
- Government document
- Author/Creator:
- Miniane, Jacques.
- Series:
- IMF Working Papers; Working Paper ; No. 2004/106
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Balance of payments--Econometric models.
- Balance of payments.
- Physical Description:
- 1 online resource (30 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2004.
- Language Note:
- English
- Summary:
- Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data we find that: (i) the Wald test often leads to the wrong inference compared to a valid test; (ii) in all cases posterior distributions of the predicted series and associated correlation coefficients and variance ratios are very wide. In particular, one cannot draw any firm conclusion regarding excess current account volatility.
- Contents:
- ""Contents""; ""I. INTRODUCTION""; ""II. TESTING THE PRESENT VALUE MODEL""; ""III. EMPIRICAL RESULTS""; ""IV. CONCLUDING REMARKS""; ""REFERENCES""; ""DATA APPENDIX""
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on online resource; title from PDF cover (ebrary, viewed July 1, 2015).
- ISBN:
- 9786613782090
- 9781462389285
- 1462389287
- 9781452781518
- 1452781516
- 9781281601407
- 1281601403
- 9781451898583
- 1451898584
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