Random Coefficients on Endogenous Variables in Simultaneous Equations Models
联立方程模型中内生变量的随机系数
This article considers a classical linear simultaneous equations model with random coefficients on the endogenous variables. Simultaneous equations models are used to study social interactions, strategic interactions between firms, and market equilibrium. Random coefficient models allow for heterogeneous marginal effects. I show that random coefficient seemingly unrelated regression models with common regressors are not point identified, which implies random coefficient…