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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1632
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: General
- Thema
-
heteroskedasticity
simultaneous equations models
testing for identification
Davies' problem
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lütkepohl, Helmut
Milunovich, George
Yang, Minxian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lütkepohl, Helmut
- Milunovich, George
- Yang, Minxian
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2016
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