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Model identification and non-unique structure

Model identification and non-unique structure
Model identification and non-unique structure
Identification is an essential attribute of any model’s parameters, so we consider its three aspects of ‘uniqueness’, ‘correspondence to reality’ and ‘interpretability’. Observationally-equivalent overidentified models can co-exist, and are mutually encompassing in the population; correctly-identified models need not correspond to the underlying structure; and may be wrongly interpreted. That a given model is over-identified with all over-identifying restrictions valid (even asymptotically) is insufficient to demonstrate that it is a unique representation. Moreover, structure (as invariance under extended information) need not be identifiable. We consider the role of structural breaks to discriminate between such representations.
2002-W10
University of Oxford
Hendry, David F.
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Lu, Maozu
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Mizon, Graham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Hendry, David F.
9c76f1f4-5773-4a45-9778-6ea40af72958
Lu, Maozu
f20c88e0-3bba-419d-a6a8-79f68f821095
Mizon, Graham E.
2b8353b4-0af4-48db-b552-6867dc1f4583

Hendry, David F., Lu, Maozu and Mizon, Graham E. (2001) Model identification and non-unique structure (Economics Working Papers, 2002-W10) Oxford, GB. University of Oxford 16pp.

Record type: Monograph (Working Paper)

Abstract

Identification is an essential attribute of any model’s parameters, so we consider its three aspects of ‘uniqueness’, ‘correspondence to reality’ and ‘interpretability’. Observationally-equivalent overidentified models can co-exist, and are mutually encompassing in the population; correctly-identified models need not correspond to the underlying structure; and may be wrongly interpreted. That a given model is over-identified with all over-identifying restrictions valid (even asymptotically) is insufficient to demonstrate that it is a unique representation. Moreover, structure (as invariance under extended information) need not be identifiable. We consider the role of structural breaks to discriminate between such representations.

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More information

Published date: May 2001
Additional Information: Prepared for: Contributions to Econometrics, Time Series Analysis, and System Identification: A Festschrift in Honour of Manfred Deistler, Journal of Econometrics, edited by Benedikt M. P¨otscher and Ingmar R. Prucha.

Identifiers

Local EPrints ID: 32990
URI: http://eprints.soton.ac.uk/id/eprint/32990
PURE UUID: e2f567c8-5628-4bfd-831d-af150137faa8

Catalogue record

Date deposited: 12 May 2006
Last modified: 15 Mar 2024 07:40

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Contributors

Author: David F. Hendry
Author: Maozu Lu
Author: Graham E. Mizon

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