Research Seminar
Seminar: Inference in Partially Identified Heteroskedastic Simultaneous Equations Model
| 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 asymptotic properties of the identified parameters are derived. Moreover, tests for identification through heteroscedasticity 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. |
| Date: | Jun 13 (Tue), 2017 11:00 am - 12:30 pm |
| Time: | 11:00AM - 12:30PM |
| Speaker: |
Dr Minxian Yang School of Economics, University of New South Wales |
| Venue: | Room 14-222, 14/F, Lau Ming Wai Academic Building |
+852 3442-8989
+852 3442-0151
