Seminar: Inference in Partially Identified Heteroskedastic Simultaneous Equations Model

Date: Jun 13 (Tue), 2017
Time: 11:00am to 12:30pm
Venue: Room 14-222, 14/F, Lau Ming Wai Academic Building

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.

Event Speaker

Dr Minxian Yang, School of Economics, University of New South Wales

Minxian Yang is a senior lecturer at the University of New South Wales, School of Economics. He gained his PhD from UNSW, bachelor and master degrees from Wuhan University of Technology. He works in the area of econometric methods/theory, time series analysis, and financial econometrics. Some of his research has been published in good journals such as JASA, JBES, Journal of Econometrics, and Econometric Theory. In addition to his recent research about identification and inference of simultaneous equations models, he is also investigating the price discovery issues, and the risk return relationship in empirical finance.