# Questions tagged [identifiability]

A model is identifiable if a single set of parameters can be found that will yield the best fit.

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### Identifiability of ANOVA model

Suppose that random variables $Y_{ij}$ are observed according to the overparameterised one way ANOVA model i.e $$Y_{ij}=\mu+T_i+\epsilon_{ij}$$ Show that without some restriction on the parameters, ...
82 views

### Proving Identifiability Using Law of Large Numbers? [closed]

Well normally proving identifiability follows by showing that $p_{\theta}(x)=p_{\theta'}(x)$ implies $\theta=\theta'$. Usually this proceeds by showing that a function dependent on $\theta$, such as ...
58 views

### Parameters identifiability / estimation in Bayesian linear state-space models

Is it possible to tell if the parameters can be uniquely estimated in a Bayesian state-space models from the system equations (beyond redundant parameterisations). If so, how? For example, should it ...
82 views

### MLE Asymptotic Normality regularity conditions

I had this lecture of mathematical statistics about asymptotic normality of MLE. In order to prove this, a series of regularity conditions were stated, and the identifiability condition was among them....
26 views

### fitting specific formula/model in r - model possibly not identifiable

I would like to fit the following formula in R: y ~ alpha *(x1_0 * x2_0 * beta_0 + x1_1 * x2_1 * beta_1) Here: alpha, ...
25 views

### What are the “moment conditions” in the GMM method? Also: GMM vs IV vs 2SLS?

I keep seeing talk of 'moment conditions' or 'moment equations', but don't exactly understand the context. Consider a very standard regression model: $$y_i = \beta x_i + u_i$$ where $u_i$ is an ...
33 views

### What is an intuitive of definition of “point identification” (point identified parameter) in econometrics?

I've recently come across the notion of point identification in several econometric papers. See, e.g., https://scholar.harvard.edu/files/tamer/files/pie.pdf, who mentions point identification ...
48 views

### Can anyone show how the concept of Identifiability is geometrically/intuitively presented?

The motivation for this question comes from the following: When I was studying statistics for the first time long ago, no one presented the mathematical concepts behind linear regression, like the one ...
7 views

### The Hansen-Sargan test for overidentification and the choice of quadratic loss function

According to my professor, the Hansen-Sargan statistic is: $HS=nQ(b_{2sls})$ ~ $\chi ^2_{L-K}$ asymptotically, where $L$ is the number of moment restrictions, $K$ is the number of unknown parameters, ...
35 views

### How to deal with product coefficients in a nonlinear model?

I am considering a nonlinear regression model as the following: y=(ax)*(bz)+u, where the sample are IID, u is random error term such that E(u|x,z)=0, and a and b ...
16 views

### calculate mean of normal distribution given SD and probability corresponding to a single range

Suppose that I have a normally distributed variable with unknown mean and known SD: $X \sim N(\mu, 1)$. I also know that $P(-2 < X < 2) = 0.3.$ Is it possible to calculate $\mu$ from this ...