Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Helmut Lütkepohl, George Milunovich and Minxian Yang

No 2016-19, Discussion Papers from School of Economics, The University of New South Wales

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 asymptotic properties 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: 48 pages
Date: 2016-12
New Economics Papers: this item is included in nep-ore
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Related works:
Journal Article: Inference in partially identified heteroskedastic simultaneous equations models (2020)
Working Paper: Inference in Partially Identified Heteroskedastic Simultaneous Equations Models (2016)
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