The DOI matches its Crossref record; 7 of the 7 references it cites were found in a registry or an index.
Identification Through Heteroskedasticity
Abstract
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.
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Cites
(2012) · American Economic Review · doi:10.1257/aer.102.2.i · Cited by 13,709
No Contagion, Only Interdependence: Measuring Stock Market Comovements
Forbes, K. J., & Rigobon, R. (2002) · The Journal of Finance · doi:10.1111/0022-1082.00494 · Cited by 4,615
Self-citationMeasuring the reaction of monetary policy to the stock market
Rigobon, R., & Sack, B. (2003) · The Quarterly Journal of Economics · doi:10.1162/003355303321675473 · Cited by 745
Self-citationVolatility and Links between National Stock Markets
King, M., Sentana, E., & Wadhwani, S. (1994) · Econometrica · doi:10.2307/2951737 · Cited by 678
Identification, estimation and testing of conditionally heteroskedastic factor models
Sentana, E., & Fiorentini, G. (2001) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00051-3 · Cited by 276
Methods of Measuring the Marginal Propensity to Consume
Haavelmo, T. (1947) · Journal of the American Statistical Association · doi:10.1080/01621459.1947.10501917 · Cited by 118
The curse of non-investment grade countries
C, R. R. B. (2002) · Journal of Development Economics · doi:10.1016/s0304-3878(02)00095-0 · Cited by 107
Cited by
Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models
Lewbel, A. (2012) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2012.643126 · Cited by 2,712
Globalization and the Gains From Variety
Broda, C., & Weinstein, D. E. (2006) · The Quarterly Journal of Economics · doi:10.1162/qjec.2006.121.2.541 · Cited by 2,478
Arcand, J. L., Berkes, E., & Panizza, U. (2015) · Journal of Economic Growth · doi:10.1007/s10887-015-9115-2 · Cited by 1,136
What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?
Wright, J. H. (2012) · The Economic Journal · doi:10.1111/j.1468-0297.2012.02556.x · Cited by 527
Product Creation and Destruction: Evidence and Price Implications
Broda, C., & Weinstein, D. E. (2010) · American Economic Review · doi:10.1257/aer.100.3.691 · Cited by 490
Metadata
- Authors
- Rigobon, R.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2003-11
- Volume
- 85
- Issue
- 4
- Pages
- 777-792
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2020958936
- Cited by
- 912
- References
- 7
- FWCI
- 37.80
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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