Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Aufsätze referiert extern - Web of Science

Helmut Lütkepohl, George Milunovich, Minxian Yang

In: Journal of Econometrics 218 (2020), 2, S. 317-345

Abstract

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies structural parameters only partially is explicitly allowed for. The asymptotic properties of the identified parameters are derived. Moreover, tests for identification through heteroskedasticity are developed and their asymptotic distributions are provided. 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 degree of economic openness and inflation.



JEL-Classification: C30
Keywords: Heteroskedasticity, Simultaneous equations models, Testing for identification, Davies’ problem
DOI:
https://doi.org/10.1016/j.jeconom.2020.04.019

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