Parametric Identification of Multiplicative Exponential Heteroscedasticity
指出文献中关于乘法指数异方差模型参数识别的条件并不充分，通过例子说明问题，并给出了常见设定下点识别的证明。
Abstract Harvey ( ) first proposed multiplicative exponential heteroscedasticity in the context of linear regression. These days it is more commonly seen in latent variable models such as Probit or Logit where correctly modelling the heteroscedasticity is imperative for consistent parameter estimates (Yatchew and Griliches, ). However, it appears the literature lacks a formal proof of point identification for the parametric model. This paper presents several examples that show the conditions presumed throughout the literature are not sufficient for identification. As a contribution, this paper discusses when identification can and cannot be easily obtained and provides proofs of point identification in common specifications.