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A note on global identification in structural vector autoregressions

Bacchiocchi, Emanuele; Kitagawa, Toru - 2021 - This draft: 8 February 2021

(2010, 'Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,' Review of Economic … sufficient for global identification. Analytical investigation of the counterexample clarifies why their sufficiency claim breaks … identifying information. We derive a modified necessary and sufficient condition for SVAR global identification and clarify how it …

Persistent link: https://www.econbiz.de/10012431646

Sample selection models without exclusion restrictions: Parameter heterogeneity and partial identification

Honoré, Bo E.; Hu, Luojia - 2022

This paper studies semiparametric versions of the classical sample selection model (Heckman (1976, 1979)) without exclusion restrictions. We extend the analysis in Honor'e and Hu (2020) by allowing for parameter heterogeneity and derive implications of this model. We also consider models that...

Persistent link: https://www.econbiz.de/10013479459

Sample selection models without exclusion restrictions : parameter heterogeneity and partial identification

Honoré, Bo E.; Hu, Luojia - 2022

Persistent link: https://www.econbiz.de/10013332258

Sample selection models without exclusion restrictions : parameter heterogeneity and partial identification

Honoré, Bo E.; Hu, Luojia - In: Journal of econometrics 243 (2024) 1/2, pp. 1-16

Persistent link: https://www.econbiz.de/10015075235

Chapter 73 Nonparametric identification

Matzkin, Rosa L. - In: Handbook of econometrics : volume 6B, (pp. 5307-5368). 2007

to analyze the identification of a model independently of any particular parametric specification, it is useful to … perform a nonparametric analysis of identification. This chapter presents some of the recent results on the identification of … nonparametric econometric models. It considers identification in models that are additive in unobservable random terms and in models …

Persistent link: https://www.econbiz.de/10014024942

Population and economic growth : a simultaneous equation perspective

Huang, Tai-hsin; Xie, Zixiong - In: Applied economics 45 (2013) 25/27, pp. 3820-3826

Persistent link: https://www.econbiz.de/10010345853

Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper

Strohsal, Till; Weber, Enzo - 2013

identification. The model is applied to data of US and further stock markets. Indeed, we find strong nonlinear, volatility …

Persistent link: https://www.econbiz.de/10010339937

The signal of volatility

Strohsal, Till; Weber, Enzo - 2012

The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...

Persistent link: https://www.econbiz.de/10010318768

Automatic identification of simultaneous equations models

Pieter, Omtzigt - Facoltà di Economia, Università degli Studi dell'Insubria - 2002

This paper provides an operational procedure for putting indentifying restrictions on a simultaneous equations models. The algorithm works on the restrictions,not on the parameters, such that the identifying restrictions can be imposed before estimation.

Persistent link: https://www.econbiz.de/10005264644

Instrumental variables with unrestricted heterogeneity and continuous treatment

Kasy, Maximilian - In: The review of economic studies 81 (2014) 4, pp. 1614-1636

Persistent link: https://www.econbiz.de/10010485841