Programming identification criteria in simultaneous equation models

George Halkos and Kyriaki Tsilika

MPRA Paper from University Library of Munich, Germany

Abstract: Examining the identification problem in the context of a linear econometric model can be a tedious task. The order condition of identifiability is an easy condition to compute, though difficult to remember. The application of the rank condition, due to its complicated definition and its computational demands, is time consuming and contains a high risk for errors. Furthermore, possible miscalculations could lead to wrong identification results, which cannot be revealed by other indications. Thus, a safe way to test identification criteria is to make use of computer software. Specialized econometric software can off-load some of the requested computations but the procedure of formation and verification of the identification criteria are still up to the user. In our identification study we use the program editor of a free computer algebra system, Xcas. We present a routine that tests various identification conditions and classifies the equations under study as «under-identified», «just-identified», «over-identified» and «unidentified», in just one entry.

Keywords: Simultaneous equation models; order condition of identifiability; rank condition of identifiability; computer algebra system Xcas (search for similar items in EconPapers)
JEL-codes: C10 C30 C51 C63 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/43467/1/MPRA_paper_43467.pdf original version (application/pdf)

Related works:
Journal Article: Programming Identification Criteria in Simultaneous Equation Models (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:43467

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().