Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
49 Pages Posted: 17 Jan 2017
Date Written: December 2016
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.
Keywords: Heteroskedasticity, simultaneous equations models, testing for identification, Davies' problem
JEL Classification: C30
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