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Questions tagged [identification]

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49 views

Fitting a Beta distribution only using coin flips from the biased coins it generates

I have a Beta distribution $D$ with unknown parameters $\alpha$ and $\beta$ which I wish to estimate. If I was given samples $p_1, \ldots, p_n$ from $D$, then it's relatively straightforward to fit $...
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1answer
78 views

Identification of discrete choice models

Consider the classical Logit model. In particular, let $\mathcal{Y}\equiv (0,1,...,L)$ be the set of options available to consumers, where $0$ denotes the outside option. Let $$ u_y\equiv \begin{...
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0answers
13 views

Identification in the multinomial probit model

It is said that for identification we need to set one of the betas to 0 in the multinomial probit model. The identification problem is described in a book as follows. We start with the utilities where ...
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1answer
98 views

Do I need Sargan test with equal numbers of instruments and endogenous variables when one instrument can affect more than one endogenous variables?

I have a instrumental variable logistic regression I run with three instruments (z1, z2, z3) and three endogenous variables (k1, k2, k3). Therefore, since the number of instruments "3" equals the ...
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1answer
50 views

Verifying Identification Results for Univariate Regression

So I have this linear regression model shown below and I'm supposed to be showing that equation 3 is equal to equation 4. There's a hint that says a 2x2 inverse matrix appears in the proof, but the ...
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0answers
49 views

Overidentified vs just identified models

Why go with overidentified models as opposed to just-identified? If you can go with over-identified models, how many instrumental variables can you have at max in a 2SLS model?
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0answers
23 views

Panel Data Fixed Effects Variation

Suppose I have a regression of the form: $$ Y_{it}=\beta X_{it}+\beta_{2}X_{it}\times D_{i}+\alpha_{i}+\epsilon_{it} $$ In the above, we have information by country-year on $Y_{it}$ and two ...
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0answers
956 views

Stata: Difference in Difference; common-trend plot [closed]

I estimate the following flexible difference-in-difference model with Stata: regress Y i.time i.time##i.treatment Starting from this model, I'd like to ...
1
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1answer
41 views

What does each cluster represent?

I have a dataset from a questionnaire with over 10000 rows and 30 variables. I am trying to have an insight of the data so I tried to cluster similar items. I first made a dimension reduction ...
2
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0answers
39 views

Why is uncorrelated(exogeneity) “good enough” for identification in regression?

Let the model $y=x+x^2-1$ be exactly correct, where $x\sim N(0,1)$, then $x^2\sim \chi^2_{(1)}$. Say we want to estimate the model $y=\beta x-1+\epsilon$ by least squares. Let $(y_i,x_i)_{i=1}^n\...
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27 views

Identification and estimation of my structural model with a latent variable

I am having some trouble trying to identify the parameters in the following structural model that I am trying to estimate. $$ y = a'x_1 + \beta\eta + \epsilon_1 $$ $$ \eta = b'x_2 + \delta T+\...
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0answers
22 views

Alternatives to calculating the rank of the information matrix in determining if the model is identifiable

I have a known non-linear model $h \in \mathbf{R}^n$: $$ y = h(\theta) + \epsilon, $$ where $\theta\in \mathbf{R}^m$ is a parameter vector, and $\epsilon$ is a normal random variable with zero mean ...
3
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0answers
70 views

Weak instrument problem, how can a “false experiment” serve as an identification check?

In their 2004 paper, Miguel et al. investigate the role of income growth by using current and lagged rainfall as an instrument. However, the instruments are somewhat weak: the joint F-statistic is ...
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0answers
21 views

deep learning, overfitting and identification problem

I have build a convolutional network with around "only" 1900 parameters for 4600 images in training set (observations) and I am still overfitting the training set. I view the problem like a system of ...
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0answers
17 views

What exactly does “local identification” mean in the context of structural VARs and VECMs?

In Lutkepohl's "New Introduction to Time Series Analysis", chapter 9, this term is frequently mentioned, but is in no where well-defined. So what exactly does "local identification" mean in this ...
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0answers
219 views

Create Gaussian noise for artificial dataset with different noise levels

I am creating an artificial dataset corresponding to different noise levels. This is to simulate results of a recognition software (e.g. face recognition). For example, for $noise_{level} = 0.1$, the ...
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0answers
39 views

Full Support of r.v. and model identification

Consider the model: $$y_i=x_i'\beta + \epsilon_i$$ where $\epsilon_i$ is i.i.d. and follows a $N(\mu,\sigma^2)$ with $\sigma^2>0$ and where the distribution of $x_i$ has full support on $R^k$. You ...
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1answer
389 views

Confirmatory factor analysis model identification

The minimum number of indicators for a single factor measurement model in CFA is 3. This follows from k(k+1)/2 where ...
0
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1answer
748 views

What do the assumptions for 2SLS (two-stage least squares) mean in the context of instrumental variables?

The assumptions for 2SLS are (z are the vector for instrumental variables; x are the explanatory variables in the model; u are the vector for the error term): Assumption 2SLS.1: E(z'u)=0, Assumption ...
3
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1answer
194 views

Which parameter is identified by $E(Y|X)=X\beta$?

I have been confused by the concept of parameter identification for a while now. I am asking this question mainly to test my understanding. Here is the linear regression model: $$y=X\beta + \...
3
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1answer
559 views

identification SEM model

Can someone explain to me how I calculate the non-redundant parameters? I read everywhere that you calculate this by p (p + 1) / 2, but do you have to do this per latent variable or in total or with ...
0
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1answer
32 views

How to calculate accuracy of identification using embedings and corresponded labels? [closed]

I'm trying to implement deep speaker embeding system and after getting voice embeddings I need to somehow calculate accuracy. But there is no mention in deep speaker paper about how they calculated ...
1
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1answer
825 views

Identify parameters for ARIMA model

I am trying to build ARIMA model, I have 144 terms in my standardized time series, which represent residuals form original time series. This residuals, on which I would like to build ARIMA model, are ...
0
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1answer
23 views

Why is parameter identification defined on the distribution of observables, rather than just the sample?

I'm struggling to intuitively understand parameter estimation. Specifically, why do we say that a parameter is identified if it is determined by the probability distributions of observables? e.g. we ...
0
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1answer
55 views

Tuning an approximate model with data?

Given an approximate model (obtained by theoretical simplifications etc.), how can observations (data) be used to fine tune it?. Standard supervised learning techniques can used for constructing ...
1
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1answer
886 views

ARMA vs AR process differences

According to wold representation theorem every covariance-stationary time series can be written as a linear combination of lagged values of a white noise process (MA(∞) representation). Now if a MA(∞) ...
3
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1answer
52 views

Identifying restriction in MLE?

Consider the following density function: $$ f(x; a,b) = \frac{(1-a)b}{2a x^2}$$ where $a$ and $b$ cannot be separately identified. Now suppose that given my data, I can restrict $a$ to two possible ...
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1answer
93 views

What is next after a referee rejects an instrumental variable strategy?

I have a paper that just got rejected. It appears that my identification strategy is not sound enough. Below I describe the critique and seek some advice. My sample is elderly aged 55 and over. The ...
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1answer
59 views

Convolutional Neural Networks for identification of specific objects instead of object categories?

Is it for example feasible to hand a query image of my dog "Dave" to a CNN, and then use the CNN to find all images of "Dave" in a database of dog images? If so, how would one do this? If not, why ...
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1answer
1k views

Identification assumptions and causal relationships

I'm new to econometrics and I'm having a hard time answering if the following statement is true or false: "In regression studies, making adequate identification assumptions is sufficient for ...
1
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1answer
730 views

Residual ACF of AR and MA models is the same

For Autoregressive Integrated Moving Average models (ARIMA), if the residual autocorrelation function (ACF) of both autoregressive, AR(1), and moving average, MA(1), models is the same what does this ...
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0answers
379 views

Identification with multiple fixed effects

I have been thinking about this question for a long time: I wanted to ask that if we have a fixed effect regression (say data on 30 counties over 10 years). Now, say I run a regression $Y_{it} = \...
1
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1answer
119 views

Which VAR model should I use

I have a set of covariance stationary variables which are slightly correlated to each other (<20%). I want to model the dependencies among the variables. I found out, that there are three types of ...
1
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1answer
102 views

Identifiability Versus Convexity

I'm a little unclear on the definitions of "identifiable" and "convex." Consider the case where $X_1, \ldots, X_n \overset{iid}{\sim} \text{Bernoulli}(p)$. Then our likelihood function is $L(p) = p^{\...
0
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1answer
139 views

Least squares system identification gives wrong coefficients

I am working on system identification using least squares method. I implemented the algorithm as recommended by the original paper. This link describes what I implemented. The image below is for ...
1
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0answers
32 views

Finding the probability of a Nearest Neighbour miss-identification in 8 dimensions

I'm trying to ascertain the accuracy of a device used to distinguish values from different populations. Currently each device measurement contains a data point from 8 different sensors. The value ...
0
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0answers
47 views

Identification of a system of equation with a parameter in the exponent

I'm trying to proof identification for the following system of $N$ equations: $$ y\times(1-\sigma) = x^{(1-\sigma)} - 1 + \alpha \times ( z^{(1-\sigma)} - 1) + \beta \times ( w^{(1-\sigma)} - 1) $$ ...
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2answers
147 views

Is the equation identifiable?

Is the following equation identified. Is it possible to obtain the estimates of parameters $\alpha$ and $\beta$ in OLS estimation. $y_t=\alpha+\beta x_t +\frac{z_t}{\beta}+u_t. $ $x_t, y_t, z_t$ ...
2
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1answer
297 views

Dependent gaussian processes

I need a help with gaussian processes. I am implementing dependent gaussian processes as on this paper Boyle, Phillip, and Marcus Frean. "Dependent gaussian processes." Advances in neural ...
4
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1answer
1k views

Understanding mean independence in the regression setting

The notion of uncorrelated ($\mathbb{E}[XY]=0$) and mean independence ($\mathbb{E}[X|Y]=0$) are mentioned in different setting of regression assumptions. We know that $\mathbb{E}[X|Y]=0$ implies $\...
3
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3answers
921 views

What is parameter identification in the context of OLS?

Can someone explain what identification means in the context of an OLS model? I have a fair grasp of the derivation using either the method of moments or by minimizing the squares, but am failing to ...
1
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1answer
55 views

Is it possible to automatically de-identify/confidentialise aggregate data?

Suppose I have a data set containing every tax return lodged with a particular tax authority. Suppose I would like to allow people to study trends and patterns but not see any individual's tax return ...