Graphical Interpretations of Rank Conditions for Identification of Linear Gaussian Models

22 Pages Posted: 26 Feb 2016

See all articles by Nikolay Arefiev

Nikolay Arefiev

National Research University Higher School of Economics

Date Written: February 25, 2016

Abstract

The literature on graphical models and the literature on identification pursue similar goals, but do not use entirely each other's results, because represent them in different languages. To ease the communication between these fields, I translate the most important theorems on identification of linear Gaussian Simultaneous Equations Models (SEMs) and Structural Vector Autoregressions (SVARs) into the language of graphical models. I propose graphical interpretations of the rank conditions for identification of SEMs, of the rank condition of Rubio-Ramirez et al (2010) for identification of SVARs with linear and nonlinear restrictions, and of the theory of partial identification for SVARs.

Keywords: graphical models, identification, rank condition

JEL Classification: C30

Suggested Citation

Arefiev, Nikolay, Graphical Interpretations of Rank Conditions for Identification of Linear Gaussian Models (February 25, 2016). Higher School of Economics Research Paper No. WP BRP 124/EC/2016. Available at SSRN: https://ssrn.com/abstract=2737881 or http://dx.doi.org/10.2139/ssrn.2737881

Nikolay Arefiev (Contact Author)

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

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