Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
Helmut Lütkepohl,
George Milunivich and
Minxian Yang
No 1632, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research
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.
Keywords: Heteroskedasticity; simultaneous equations models; testing for identification; Davies' problem (search for similar items in EconPapers)
JEL-codes: C30 (search for similar items in EconPapers)
Pages: 47 p.
Date: 2016
New Economics Papers: this item is included in nep-ecm and nep-ore
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.diw.de/documents/publikationen/73/diw_01.c.550351.de/dp1632.pdf (application/pdf)
Related works:
Journal Article: Inference in partially identified heteroskedastic simultaneous equations models (2020)
Working Paper: Inference in Partially Identified Heteroskedastic Simultaneous Equations Models (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1632
Access Statistics for this paper
More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek (bibliothek@diw.de).