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Inference in partially identified heteroskedastic simultaneous equations models

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  • Lütkepohl, Helmut
  • Milunovich, George
  • Yang, Minxian

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.

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  • Lütkepohl, Helmut & Milunovich, George & Yang, Minxian, 2020. "Inference in partially identified heteroskedastic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 218(2), pages 317-345.
    • Handle: RePEc:eee:econom:v:218:y:2020:i:2:p:317-345
    DOI: 10.1016/j.jeconom.2020.04.019
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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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