01807cas a2200253 a 4500 AALejournalIMF002883 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451845860 1018-5941 BD-DhAAL BD-DhAAL Berg, Andrew. Autocorrelation-Corrected Standard Errors in Panel Probits : An Application to Currency Crisis Prediction / Andrew Berg, Rebecca Coke. Washington, D.C. : International Monetary Fund, 2004. 1 online resource (21 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously published EWS estimates. We find that (1) the uncorrected probit estimates substantially underestimate the true standard errors, by up to a factor of four; (2) a heteroskedasicity- and autocorrelation-corrected (HAC) procedure produces accurate estimates; and (3) most variables from the original models remain significant, though substantially less so than had been previously thought. Mode of access: Internet Coke, Rebecca. IMF Working Papers; Working Paper ; No. 2004/039 Full text available on IMF http://elibrary.imf.org/view/journals/001/2004/039/001.2004.issue-039-en.xml IMF e-Library