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Building a Structural Model: Parameterization and Structurality

Author

Listed:
  • Michel Mouchart

    () (Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA), Université catholique de Louvain, Louvain-la-Neuve, Belgium)

  • Renzo Orsi

    () (Department of Economics, University of Bologna, 40126 Bologna, Italy)

Abstract

A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussions of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economically meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some practical implications of the proposed analysis.

Suggested Citation

  • Michel Mouchart & Renzo Orsi, 2016. "Building a Structural Model: Parameterization and Structurality," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 1-16, April.
  • Handle: RePEc:gam:jecnmx:v:4:y:2016:i:2:p:23-:d:68059
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    References listed on IDEAS

    as
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    2. J.J. Heckman & E.E. Leamer (ed.), 2007. "Handbook of Econometrics," Handbook of Econometrics, Elsevier, edition 1, volume 6, number 6b, January.
    3. James J. Heckman, 2008. "Econometric Causality," International Statistical Review, International Statistical Institute, vol. 76(1), pages 1-27, April.
    4. Maddala, G S, 1976. "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Rejoinder," Econometrica, Econometric Society, vol. 44(3), pages 625-625, May.
    5. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
    6. Genberg, Hans, 1972. "Constraints on the Parameters in Two Simple Simultaneous Equation Models," Econometrica, Econometric Society, vol. 40(5), pages 855-865, September.
    7. J.-F. Richard, 1980. "Models with Several Regimes and Changes in Exogeneity," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 1-20.
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    9. Zellner, Arnold, 1976. "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Further Reply," Econometrica, Econometric Society, vol. 44(3), pages 627-628, May.
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    12. Florens, J.P. & Mouchart, M. & Rolin, J.M., 1993. "Noncausality and Marginalization of Markov Processes," Econometric Theory, Cambridge University Press, vol. 9(02), pages 241-262, April.
    13. Bowden, Roger J, 1978. "Specification, Estimation and Inference for Models of Markets in Disequilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(3), pages 711-726, October.
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    More about this item

    Keywords

    structural model; recursive decomposition; exogeneity; causality; model identification; observationally equivalent models; structural invariance; misleading constraints; structurality;

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C - Mathematical and Quantitative Methods
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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