识别概念的允许变换说质疑

On the Admissible Transformation View on Identification for a Linear Simultaneous Equation Model

经济计量学联立方程模型识别概念的一个权威观点是Fisher的允许变换说,其特征是将结构式参数的约束信息与协方差参数的约束信息联合纳入识别范围.我们的工作证明了协方差约束对变量的缺省性约束有挤出作用.由于变量的缺省性约束对保证方程的观测不等价性是必需的,因此两类约束条件的联合识别是不能成立的.

For a linear simultaneous equation model in econometrics, one authoritative definition of identification is Fisher＇s admissible transformation view. It takes parameter restriction and covariance restriction together into consideration. We show that the covariance restriction on disturbance terms may obstruct the exclusion restriction on variables. The exclusion restriction on variables is necessary for the test of observationally equivalent of equations so that the union identification does not hold true.