Programming Identification Criteria in Simultaneous Equation Models

George Halkos and Kyriaki Tsilika

Computational Economics, 2015, vol. 46, issue 1, 157-170

Abstract: Examining the identification problem in the case of a linear econometric model can be a tedious task. The rank and order conditions are commonly used in identification for simultaneous equations models. The order condition of identifiability is an easy condition to compute, though maybe 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. Copyright Springer Science+Business Media New York 2015

Keywords: Simultaneous equations; Order and rank conditions; Computer algebra system Xcas; C10; C30; C51; C63 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Working Paper: Programming identification criteria in simultaneous equation models (2012)
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DOI: 10.1007/s10614-014-9444-9

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