Direkt zum Inhalt

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Discussion Papers 1632, 47 S.

Helmut Lütkepohl, George Milunivich, Minxian Yang

2016

get_appDownload (PDF  0.58 MB)

Published in: Journal of Econometrics 218 (2020) S. 317–345

Abstract

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptoticproperties of the identified parameters are derived. Moreover, tests for identification through heteroskedasticity are developed and their asymptotic distributions are derived. Monte Carlo simulations are used to explore the small sample properties of the asymptotically valid methods. Finally, the approach is applied to investigate the relation between the extent of economic openness and inflation.



JEL-Classification: C30
Keywords: Heteroskedasticity, simultaneous equations models, testing for identification, Davies' problem
Frei zugängliche Version: (econstor)
http://hdl.handle.net/10419/149895

keyboard_arrow_up