Hidden Bibliographic Details
| Other authors / contributors: | Miniane, Jacques, author.
International Monetary Fund, issuing body.
IMF Institute.
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| ISBN: | 1451898584
9781451898583
1281601403
9781281601407
9781451852929
1451852924
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| Notes: | Includes bibliographical references.
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| 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.
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| Other form: | Print version: Mercereau, Benoît. Challenging the empirical evidence from present value models of the current account. [Washington D.C.] : International Monetary Fund, ©2004
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| Standard no.: | 10.5089/9781451898583.001
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