Graphical Interpretations of Rank Conditions For Identification of Linear Gaussian Models

Nikolay Arefiev

HSE Working papers from 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.

Keywords: graphical models; identi cation; rank condition (search for similar items in EconPapers)
JEL-codes: C30 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2016
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Published in WP BRP Series: Economics / EC, February 2016, pages 1-22

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Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:124/ec/2016

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