Programming identification criteria in simultaneous equation models

Halkos, George and Tsilika, Kyriaki (2012): Programming identification criteria in simultaneous equation models.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Simultaneous equation models; order condition of identifiability; rank condition of identifiability; computer algebra system Xcas
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C30 - General

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