Arbeitspapier
Inference in partially identified heteroskedastic simultaneous equations models
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: DIW Discussion Papers ; No. 1632
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: General
- Subject
-
heteroskedasticity
simultaneous equations models
testing for identification
Davies' problem
- Event
-
Geistige Schöpfung
- (who)
-
Lütkepohl, Helmut
Milunovich, George
Yang, Minxian
- Event
-
Veröffentlichung
- (who)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (where)
-
Berlin
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lütkepohl, Helmut
- Milunovich, George
- Yang, Minxian
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2016
Other Objects (12)
Inference in partially identified heteroskedastic simultaneous equations models
Bayesian inference in a class of partially identified models
Combinatorial approach to inference in partially identified incomplete structural models
Practical and theoretical advances in inference for partially identified models
Bayesian inference for partially identified convex models: Is it valid for frequentist inference?
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function
Considerations on partially identified regression models
Considerations on partially identified regression models
Confidence intervals for partially identified parameters
Inference in partially identified heteroskedastic simultaneous equations models
Bayesian inference in a class of partially identified models
Combinatorial approach to inference in partially identified incomplete structural models
Practical and theoretical advances in inference for partially identified models
Bayesian inference for partially identified convex models: Is it valid for frequentist inference?
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function
Considerations on partially identified regression models
Considerations on partially identified regression models
Confidence intervals for partially identified parameters
Inference in partially identified heteroskedastic simultaneous equations models
Bayesian inference in a class of partially identified models
Combinatorial approach to inference in partially identified incomplete structural models
Practical and theoretical advances in inference for partially identified models
Bayesian inference for partially identified convex models: Is it valid for frequentist inference?
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function
Considerations on partially identified regression models
Considerations on partially identified regression models