Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

49 Pages Posted: 17 Jan 2017

See all articles by Helmut Lütkepohl

Helmut Lütkepohl

Free University of Berlin (FUB)

George Milunovich

Macquarie University - Department of Economics; Macquarie University, Macquarie Business School

Minxian Yang

University of New South Wales (UNSW)

Date Written: December 2016

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.

Keywords: Heteroskedasticity, simultaneous equations models, testing for identification, Davies' problem

JEL Classification: C30

Suggested Citation

Lütkepohl, Helmut and Milunovich, George and Yang, Minxian, Inference in Partially Identified Heteroskedastic Simultaneous Equations Models (December 2016). DIW Berlin Discussion Paper No. 1632, Available at SSRN: https://ssrn.com/abstract=2900111 or http://dx.doi.org/10.2139/ssrn.2900111

Helmut Lütkepohl (Contact Author)

Free University of Berlin (FUB)

Otto Suhr Institut for Political Science\
Ihnestrasse 21
Berlin
Germany

George Milunovich

Macquarie University - Department of Economics ( email )

Sydney NSW 2109
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

Minxian Yang

University of New South Wales (UNSW) ( email )

Kensington
High St
Sydney, NSW 2052
Australia

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