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Graphical Interpretations of Rank Conditions For Identification of Linear Gaussian Models

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  • Nikolay Arefiev

    (National Research University Higher School of Economics)

Abstract

The literature on graphical models and the literature on identi cation pursue similar goals, but do not use entirely each other's results, because represent them in di erent languages. To ease the communication between these elds, I translate the most important theorems on identi cation 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 identi cation of SEMs, of the rank condition of Rubio-Ramirez et al (2010) for identi cation of SVARs with linear and nonlinear restrictions, and of the theory of partial identi cation for SVARs.

Suggested Citation

  • Nikolay Arefiev, 2016. "Graphical Interpretations of Rank Conditions For Identification of Linear Gaussian Models," HSE Working papers WP BRP 124/EC/2016, National Research University Higher School of Economics.
    • Handle: RePEc:hig:wpaper:124/ec/2016
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    References listed on IDEAS

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    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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