Challenging the empirical evidence from present value models of the current account /

Challenging the empirical evidence from present value models of the current account /

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Bibliographic Details
Author / Creator:	Mercereau, Benoît, author.
Imprint:	[Washington D.C.] : International Monetary Fund, ©2004.
Description:	1 online resource (29 pages)
Language:	English
Series:	IMF working paper ; WP/04/106 IMF working paper ; WP/04/106.
Subject:	Balance of payments -- Econometric models. Balance of payments -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12497190

Hidden Bibliographic Details
Other authors / contributors:	Miniane, Jacques, author. International Monetary Fund, issuing body. IMF Institute.
ISBN:	1451898584 9781451898583 1281601403 9781281601407 9781451852929 1451852924
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.
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.
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
Standard no.:	10.5089/9781451898583.001

Description
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.
Physical Description:	1 online resource (29 pages)
Format:	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.
Bibliography:	Includes bibliographical references.
ISBN:	1451898584 9781451898583 1281601403 9781281601407 9781451852929 1451852924