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
-
20.09.2024, 08:21 MESZ
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
Ähnliche Objekte (12)
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Structural vector autoregressions with heteroskedasticity : A comparison of different volatility models
Structural vector autoregressive analysis in a data rich environment: A survey
Forecasting cointegrated VARMA processes
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
Heteroskedastic proxy vector autoregressions : Testing for time-varying impulse responses in the presence of multiple proxies
Testing for identification in SVAR-GARCH models : Reconsidering the impact of monetary shocks on exchange rates
Disentangling demand and supply shocks in the crude oil market : How to check sign restrictions in structural VARs
Comparison of local projection estimators for proxy Vector Autoregressions
Structural vector autoregressions with smooth transition in variances : The interaction between US monetary policy and the stock market
Structural VectorAutoregressions withSmooth Transition inVariances
Structural Vector Autoregressions
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Structural vector autoregressions with heteroskedasticity : A comparison of different volatility models
Structural vector autoregressive analysis in a data rich environment: A survey
Forecasting cointegrated VARMA processes
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
Heteroskedastic proxy vector autoregressions : Testing for time-varying impulse responses in the presence of multiple proxies
Testing for identification in SVAR-GARCH models : Reconsidering the impact of monetary shocks on exchange rates
Disentangling demand and supply shocks in the crude oil market : How to check sign restrictions in structural VARs
Comparison of local projection estimators for proxy Vector Autoregressions
Structural vector autoregressions with smooth transition in variances : The interaction between US monetary policy and the stock market
Structural VectorAutoregressions withSmooth Transition inVariances
Structural Vector Autoregressions
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Structural vector autoregressions with heteroskedasticity : A comparison of different volatility models
Structural vector autoregressive analysis in a data rich environment: A survey
Forecasting cointegrated VARMA processes
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
Heteroskedastic proxy vector autoregressions : Testing for time-varying impulse responses in the presence of multiple proxies
Testing for identification in SVAR-GARCH models : Reconsidering the impact of monetary shocks on exchange rates
Disentangling demand and supply shocks in the crude oil market : How to check sign restrictions in structural VARs
Comparison of local projection estimators for proxy Vector Autoregressions
Structural vector autoregressions with smooth transition in variances : The interaction between US monetary policy and the stock market
Structural VectorAutoregressions withSmooth Transition inVariances