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Model Identification and Non-unique Structure

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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 over-identified 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, structre (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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File URL: http://www.nuff.ox.ac.uk/economics/papers/2002/w10/DEISTGEM.pdf
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2002-W10.

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Length: 16 pages
Date of creation: 01 May 2001
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Handle: RePEc:nuf:econwp:0210

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Web page: http://www.nuff.ox.ac.uk/economics/

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Cited by:
  1. Matteo Richiardi, 2003. "The Promises and Perils of Agent-Based Computational Economics," LABORatorio R. Revelli Working Papers Series, LABORatorio R. Revelli, Centre for Employment Studies 29, LABORatorio R. Revelli, Centre for Employment Studies.
  2. Mark P. Taylor, 2004. "Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 9(3), pages 229-244.

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