Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/149895 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1632
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
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.
Schlagwörter: 
heteroskedasticity
simultaneous equations models
testing for identification
Davies' problem
JEL: 
C30
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
595.66 kB





Publikationen in EconStor sind urheberrechtlich geschützt.