Identification Of Covariance Structures
The issue of identification of covariance structures, which arises in a number of different contexts, has been so far linked to conditions on the true parameters to be estimated. In this paper, this limitation is removed. As done by Johansen (1995) in the context of linear models, the present paper provides necessary and sufficient conditions for the identification of a covariance structure that depend only on the constraints, and can therefore be checked independently of estimated parameters. A sufficient condition is developed, which only depends on the structure of the constraints. It is shown that this structure condition, if coupled with the familiar order condition, provides a sufficient condition for identification. In practice, since the structure condition holds if and only if a certain matrix, constructed from the constraint matrices, is invertible, automatic software checking for identification is feasible even for large-scale systems.
(This abstract was borrowed from another version of this item.)
Volume (Year): 22 (2006)
Issue (Month): 02 (April)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:22:y:2006:i:02:p:235-257_06. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.