identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic … variables. To answer this question, we extend the Tiao and Tsay identification procedure for VARMA models and proposes a … complete VARMA modelling procedure. We then examine the properties of this identification procedure through simulation and used …

This lecture explores conditions under which there is identification of the impact on an outcome of exogenous variation … identification but set identification is possible if an additional covariation restriction is introduced. Relaxing other restrictions …

In simultaneous equation (SE) contexts, nuisance parameter, weak instruments and identification problems severely … instrumental variable (IV) based criteria fails to achieve size control, especially (but not exclusively) under near non-identification …

This paper is about identification and estimation in a triangular nonparametric structural model with instrumental … variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional …

reasonably well. One drawback of the approach adopted in most empirical studies is that identification of important parameters of … discussion of identification and estimation of hierarchical equilibrium models in a semi-parametric framework. We show that a … suggest that identification of non-hierarchical model may ultimately have to rely on stronger assumptions on the distribution …

large space of all possible permutations of the linear variables and provides an automatic means of robust identification of …