Abstract

http://ssrn.com/abstract=1904832
 


 



Algebraic Theory of Indentification in Parametric Models


Andrzej Kociecki


National Bank of Poland

July 1, 2011


Abstract:     
The paper presents the problem of identification in parametric models from the algebraic point of view. We argue that it is not just another perspective but the proper one. That is using our approach we can see the very nature of the identification problem, which is slightly different than that suggested in the literature. In practice it means that in many models we can unambiguously estimate parameters that have been thought as unidentifiable. This is illustrated in the case of Simultaneous Equations Model (SEM), where our analysis leads to conclusion that existing identification conditions, although correct, are based on the inappropriate premise: only the structural parameters that are in one–to–one correspondence with the reduced form parameters are identified. We will show that this is not true. In fact there are other structural parameters, which are identified, but can not be uniquely recovered from the reduced form parameters. Although we apply our theory only to SEM, it can be used in many standard econometric models.

Number of Pages in PDF File: 41

Keywords: identification, group theory, orbits, orbit representatives, simultaneous

JEL Classification: C10, C18, C30

working papers series


Download This Paper

Date posted: August 4, 2011  

Suggested Citation

Kociecki, Andrzej, Algebraic Theory of Indentification in Parametric Models (July 1, 2011). Available at SSRN: http://ssrn.com/abstract=1904832 or http://dx.doi.org/10.2139/ssrn.1904832

Contact Information

Andrzej Kociecki (Contact Author)
National Bank of Poland ( email )
00-919 Warsaw
Poland
Feedback to SSRN


Paper statistics
Abstract Views: 105
Downloads: 15

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.281 seconds