Inference in partially identified heteroskedastic simultaneous equations models

Helmut Lütkepohl, George Milunovich and Minxian Yang

Journal of Econometrics, 2020, vol. 218, issue 2, 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.

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)
Date: 2020
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Inference in Partially Identified Heteroskedastic Simultaneous Equations Models (2016)
Working Paper: Inference in Partially Identified Heteroskedastic Simultaneous Equations Models (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:218:y:2020:i:2:p:317-345

DOI: 10.1016/j.jeconom.2020.04.019

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