Blackwell Reference Online

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Identification is a notion of essential importance in quantitative empirical branches of science like economics and the social sciences. To the extent that statistical inference in such branches of science extends beyond a mere exploratory analysis, the generic approach is to use the subject matter theory to construct a stochastic model where the parameters in the distributions of the various random variables have to be estimated from the available evidence. Roughly stated, a model is then called identified when meaningful estimates for these parameters can be obtained. If that is not the case, the model is called underidentified. In an underidentified model different sets of parameter values agree equally well with the statistical evidence. Hence, preference of one set of parameter values over other ones is arbitrary. Scientific conclusions drawn on the basis of such arbitrariness are in the best case void and in the worst case dangerous. So assessing the state of identification of a model is crucial. In this chapter we present a self-contained treatment of identification in parametric models. Some of the results can also be found in e.g. Fisher (1966) , Rothenberg (1971) , Bowden (1973) , Richmond (1974) , and Hsiao (1983 , 1987) . The pioneering work in the field is due to Haavelmo (1943) , which contained the first identification theory for stochastic models to be developed ... log in or subscribe to read full text