变量非线性系统中的识别问题

The Identification Problem in Systems Nonlinear in the Variables

Econometrica · 1983
被引 88
人大 A+FT50ABS 4*

中文导读

研究仅变量非线性的联立方程模型中单一方程系数的可识别性,利用观测等价概念推导出扰动项与外生变量独立时的充要条件,并指出Fisher方法仅给出充分条件。

Abstract

This paper examines the identifiability of the coefficients of a single equation in a simultaneous equation model which is nonlinear only in the variables. The concept of identifiability in this model is motivated and developed using the closely related concept of observational equivalence. This framework is then utilized to develop necessary and sufficient conditions for identifiability when the disturbances are required to be independent of the exogenous variables. The approach recommended by Fisher is shown to yield sufficient but not necessary conditions for identifiability. For several relatively common special cases the necessary and sufficient conditions are found to simplify to the familiar rank condition for identifiability in the linear model. THE SIMULTANEOUS EQUATION MODEL that is nonlinear only in the variables has enjoyed widespread application in economics. Such models are linear in the parameters and typically seem to be linear in the variables as well, when viewing a single equation. In many models the nonlinearity in the variables arises due to endogenous variables entering in different forms in different equations (logged and unlogged form, for example). In macroeconometric models nonlinearity in the variables arises when the model includes endogenous real, nominal, and price variables, which are nonlinearly related.2 Whatever the reason for the nonlinearity in the variables, it is important to determine the conditions under which the equations of such models can be identified.

联立方程模型变量非线性可识别性观测等价性