Identification through Heteroskedasticity

Autores: Roberto Rigobon
Localización: The Review of economics and statistics, ISSN 0034-6535, Vol. 85, Nº 4, 2003, págs. 777-792
Idioma: inglés
DOI: 10.1162/003465303772815727
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Resumen
- This paper develops a method for solving the identification problem that arises in simultaneous-equation models. It is based on the heteroskedasticity of the structural shocks. For simplicity, I consider heteroskedasticity 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.