Identification Through Heteroskedasticity
提出一种利用结构冲击的异方差性来解决联立方程模型识别问题的方法，并应用于阿根廷、巴西和墨西哥主权债券收益率的同期关系测量。
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. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.