This paper presents a new method for identifying triangular systems of time-series data. Identification is the product … of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself …. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is …

A new method is proposed for estimating linear triangular models, where identification results from the structural … errors following a bivariate and diagonal GARCH(1,1) process. The associated estimator is a GMM estimator shown to have the …

This paper studies the identification of nonseparable models with continuous, endogenous regressors, also called …

This paper proposes a new method of obtaining identification in mismeasured regressor models, triangular systems, and … simultaneous equation systems. The method may be used in applications where other sources of identification such as instrumental … generalized method of moments. Identification comes from a heteroskedastic covariance restriction that is shown to be a feature of …

inference. The identification region for the distribution of the variable of interest is constructed and used to develop bounds …

We discuss statistical inference problems associated with identification and testability in econometrics, and we …. Nous analysons les problèmes d'inférence associés à l'identification et à la testabilité en économétrie, en soulignant la …

We discuss statistical inference problems associated with identification and testability in econometrics, and we …

We discuss statistical inference problems associated with identification and testability in econometrics, and we …