Identification through heteroskedasticity in a likelihood-based approach: some theoretical results

Emanuele Bacchiocchi

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: In this paper we show how the analysis of identification of simultaneous systems of equations with different volatility regimes can be addressed in a conventional likelihood-based setup, generalizing previous works in different directions. We discuss general conditions for identification and one of the results shows that an adequate number of different levels of heteroskedasticity is sufficient to identify the parameters of the structural form without the inclusion of any kind of restriction. A Full Information Maximum Likelihood (FIML) algorithm is discussed.

Keywords: Simultaneous equations model; heteroskedasticity; identification; FIML (search for similar items in EconPapers)
JEL-codes: C01 C13 C30 C51 (search for similar items in EconPapers)
Date: 2010-11-29
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://wp.demm.unimi.it/files/wp/2010/DEMM-2010_038wp.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to aaa.unimi.it:80 (nodename nor servname provided, or not known) (http://wp.demm.unimi.it/files/wp/2010/DEMM-2010_038wp.pdf [302 Found]--> http://aaa.unimi.it)

Related works:
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:mil:wpdepa:2010-38

Access Statistics for this paper

More papers in Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano Via Conservatorio 7, I-20122 Milan - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by DEMM Working Papers ( this e-mail address is bad, please contact ).