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Challenging the Empirical Evidence From Present Value Models of the Current Account [electronic resource] Miniane, Jacques.

Author/Creator:
Miniane, Jacques.
Publication:
Washington, D.C. : International Monetary Fund, 2004.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 04/106.
IMF Working Papers; Working Paper No. 04/106
Format/Description:
Government document
Book
1 online resource (30 p.)
Local subjects:
Asymptotic distribution. (search)
Bayesian Analysis. (search)
Central bank. (search)
Cointegration. (search)
Confidence intervals. (search)
Correlation. (search)
Correlation analysis. (search)
Covariance. (search)
Current account. (search)
Current account adjustment. (search)
Current Account Adjustments. (search)
Current account deficit. (search)
Current account deficits. (search)
Economic models. (search)
Equation. (search)
Equations. (search)
Excess volatility. (search)
Financial statistics. (search)
Graphical analysis. (search)
Model Evaluation and Testing. (search)
Normal distribution. (search)
Open Economy Macroeconomics. (search)
Prediction. (search)
Predictions. (search)
Probabilities. (search)
Probability. (search)
Reserve bank. (search)
Sample size. (search)
Samples. (search)
Sampling. (search)
Sampling distribution. (search)
Short-Term Capital Movements. (search)
Statistic. (search)
Statistical analysis. (search)
Statistical inference. (search)
Statistics. (search)
Time series. (search)
Variance analysis. (search)
Belgium. (search)
Canada. (search)
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.
Notes:
Description based on print version record.
Contributor:
Mercereau, Benoît.
Miniane, Jacques.
Other format:
Print Version:
ISBN:
1451852924:
9781451852929
ISSN:
1018-5941
Publisher Number:
10.5089/9781451852929.001
Access Restriction:
Restricted for use by site license.
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