Model Identification and Non-unique Structure

David Hendry, Maozu Lu and Grayham Mizon
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Maozu Lu: Economics Department, Southampton University

No 2002-W10, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: Identification is an essential attribute of any model's parameters, so we consider its three aspects of 'uniqueness', 'correspondence to reality' and 'interpretability'. Observationally-equivalent over-identified models can co-exist, and are mutually encompassing in the population; correctly-identified models need not correspond to the underlying structure; and may be wrongly interpreted. That a given model is over-identified with all over-identifying restrictions valid (even asymptotically) is insufficient to demonstrate that it is a unique representation. Moreover, structre (as invariance under extended information) need not be identifiable. We consider the role of structural breaks to discriminate between such representations.

Pages: 16 pages
Date: 2001-05-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0210

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