Identification Through Heteroskedasticity
 

“Identification Through Heteroskedasticity”


This paper develops a method of solving the identification problem that arises in simultaneous equations models. It is based on heteroskedasticity of the structural shocks. For simplicity, I consider hetereoskedasticity that can be described as a two-regime process, and show that the system is just identified. I discuss identification under general conditions, such as more than two regimes, when common unobservable shocks exist, and situations in which the nature of the heteroskedasticity is misspecified. Finally, I use this methodology to measure the contemporaneous relationship between the returns on Argentinean, Brazilian, and Mexican sovereign bonds - a case in which standard identification methodologies do not apply.


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oth_-_ih_files/ih.pdf


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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=214638
http://www.nber.org/papers/w7493
 
http://econpapers.repec.org/article/tprrestat/v_3a85_3ay_3a2003_3ai_3a4_3ap_3a777-792.htm


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oth_-_ih_files/IH_econ.zip
 
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