Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149895
Authors: 
Lütkepohl, Helmut
Milunovich, George
Yang, Minxian
Year of Publication: 
2016
Series/Report no.: 
DIW Discussion Papers 1632
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 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.
Subjects: 
heteroskedasticity
simultaneous equations models
testing for identification
Davies' problem
JEL: 
C30
Document Type: 
Working Paper

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