期刊
REVIEW OF ECONOMICS AND STATISTICS
卷 85, 期 4, 页码 777-792出版社
M I T PRESS
DOI: 10.1162/003465303772815727
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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 ethodologies do not apply.
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