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Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

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  • Helmut Lütkepohl
  • George Milunivich
  • Minxian Yang

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.

Suggested Citation

  • Helmut Lütkepohl & George Milunivich & Minxian Yang, 2016. "Inference in Partially Identified Heteroskedastic Simultaneous Equations Models," Discussion Papers of DIW Berlin 1632, DIW Berlin, German Institute for Economic Research.
    • Handle: RePEc:diw:diwwpp:dp1632
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Heteroskedasticity; simultaneous equations models; testing for identification; Davies' problem;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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