Near-Identifiability and the Variances of the Disturbance Terms
近似可识别性与扰动项方差AI 解读 ↓
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近似可识别性与扰动项方差
- 研究问题
- 在联立结构方程中，不同方程的扰动方差相差很大时，这些方差信息能否帮助识别扰动较小、相对稳定的经济关系？
- 方法与思路
- 所给片段从供需曲线移动与均衡点的例子出发，讨论相对扰动大小如何提供识别信息；具体估计方法和正式条件未说明。
- 材料陈述的贡献
- 摘要指出，即使没有显式排除变量，扰动方差信息仍可能帮助辨认较稳定的结构关系；片段未给出正式识别定理或估计结果。
- 阅读关注点
- 核对“近似可识别”的精确定义、方差信息是否须已知及所需限制，并区分近似辨认、通常秩条件识别与唯一识别。
- 阅读边界
- 所给内容偏重问题引入，不能据此断定一般联立系统可以唯一识别；方差比的作用、近似误差和可实施的推断步骤未说明。
原文摘要
THE OBSERVATION that large disparity in the variances of the disturbances from different structural equations in a simultaneous system can aid identification is as old as the discovery of the identification problem itself. Thus, in the classic example of E. J. Working [10], it is observed that whereas in the Marshallian cross neither the supply nor the demand curve is identified, this is not the case if one of the curves shifts about a great deal relative to the other. If such shifts do occur, then the relatively stable relationship is approximately traced out by the equilibrium points of intersection. This can, of course, be taken as an early statement of the fact that if one of the equations contains a shifting variable not in the other, the latter equation will be identified by the usual rank condition criterion;2 however, it is clear that even if there is no such explicit variable and all shifts come from the disturbance terms, something is still gained towards the identification of the relatively stable relationship. In other words, the example can be read as implying that information on the variances of the disturbance terms of a multiple equation system can be used for identification of the equation with the smallest disturbance variance.