Questions tagged [identification]
Identification is the challenge of identifying the targeted channel or mechanism. Mostly, this is about disentangling correlation and causation.
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Can you change monthly monetary shocks into quarterly ones?
There are now many series deriving monetary shocks at high frequency, e.g., Jarocinski-Karadi (AEJ:M, 2020), Bauer-Swanson (NBER MA, 2023).
These typically come at a monthly frequency. However my ...
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Known approaches to identify sub-portfolios in an investors' portfolio choice
I'm looking for several days already and i haven't found a satisfying idea how to approach the following problem:
I'm interested in identifying mental accounts in the form of sub-portfoios in an ...
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VAR Choleski Identification Scheme Doubt
I am doing a course in time series analysis. I am using a VAR to estimate the process in the image. Is a Cholesky identification scheme consistent with this Data Generating Process? My book says so ...
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Doesn't identification imply estimability?
In my own language, "a parameter $\beta$ is (point) identified" means "we can (uniquely) write the parameter in terms of observed random variables".
Thus, I think, even if we can ...
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How to estimate $\gamma$ in the following model?
Suppose I have the following model:
$Q=1(x'\beta+e>0)$,
$D=1(x'\alpha+\gamma Q+u>0)$
and I want to estimate $\gamma$, the error terms $e,u$ are jointly normal.
If $e$ and $u$ are correlated, can ...
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Identification strategy
I am trying to find the relationship between one independent variable with two dependent ones. I was doing some reading, and I can use MANOVA to regress this.
However, my original ID strategy was to ...
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SVAR causal interpretation: shock effects vs effects between variables
Consider a structural vector autoregressive (SVAR) model. One way to define a SVAR model is
$$
\begin{aligned}
B_0 y_t = B_1 y_{t-1} + \cdots + B_p y_{t-p} + \omega_t \quad (1) \ ,
\end{aligned}
$$
...
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Can a subset of variables in a lower triangular Cholesky identification scheme be ordered arbitrarily if we do not care about their shocks?
For example, in a three-variable SVAR model in Favero, C. A. (2001), the author uses Cholesky decomposition to identify only money shocks by ordering it last. Thus, both $p_t$ and $y_t$ affect $m_t$ ...
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Identification of firm-worker fixed effect wage equation
Consider the traditional AKM model
where
$$
Y_{it}=X_{it}\beta+\psi_{j(i,t)}+\epsilon_{it}
$$
for $i=1,...,N$ (individual index), $t=1,...,T$ (time index), $j=1,...,J$ (firm index), and $j(i,t)$ is ...
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Identifiability of Non-Parametric Utility Function?
I recently learned that EU characterized by independence and weak ordering is identifiable, but a utility function like: $U(x)=v_1(x)v_2(x)$ is not identifiable.
Does it mean that "cardinal ...
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Identifying assumption meaning
I am hoping to get a good explanation regarding what is meant by an identifying assumption.
In many articles, under empirical strategy, authors state that:
we exploit firm level variation to identify ...
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Impactful fixed-effect identification with open data
For a replication project, I am looking for impactful (and ideally somewhat recent) papers that use fixed-effects as their main identification strategy and make their data publicly available.
By ...
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Identification strategy for measuring impact of employee turnover on project quality
I am seeking help with identification strategy for figuring out causal direction in the following context:
There is a company where project managers (PM) rotate every 3-7 years across the country/...
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Minimum sample size for cross-sectional RDD
I haven't done a regression discontinuity design (RDD) before. I know it requires a large sample size for identification, thus I fear that my sample size is not large enough.
The study is cross-...
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Specifying a Diff-In-Diff with multiple treated groups over multiple years
Suppose I have a group of 100 counties. Further suppose that the state decides to allocate a lump sum amount of money to some counties each year to boost spending on education in that county (until, ...
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Economies of scale v.s. technological change
In Greene's Econometric Analysis, 7th edition, page 355, it is written that:
A long-standing problem in the analysis of production functions has been the inability to separate economies of scale ...
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Trouble Deriving Indentification Scheme in Gertler-Karadi (2015) AEJ
I'm having trouble following a derivation that Gertler-Karadi (2015) AEJ http://pubs.aeaweb.org/doi/pdfplus/10.1257/mac.20130329 do in their paper on Footnote 4 on the bottom of page 52. I've tried ...
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What is the link between econometric theory and applied work?
I just don't understand how the theory, particularly pertaining to parameter identification is relevant when conducting applied work. Why must we present a sound identification strategy when carrying ...
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What are the empirical techniques to show causation?
A simple linear regression only shows correlation between two variables. To establish causation, two commonly taught methods are IV regression and natural experiments. What are the other methods ...
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IV - Is this procedure valid?
I have three variables: $y$, $x_1$ and $z$.
I'm interested in finding the effect of $x_1$ on $y$.
Unfortunately $x_1$ is endogenous so I use an instrument z.
I know that $z$ is correlated with $x_1$....
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What happens if the "control variables" are also endogenous?
I work in Political Economy, and a lot of the models include "innocent" control variables such as population, inequality, colonial legacy, etc. so that the author can claim unbiasedness on their ...
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Identification with BBL
In the last few years, the estimator proposed by Bajari, Benkard, and Levin ('07) for dynamic games has been gaining popularity. It is relatively straight forward and is one of the only viable options ...
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Differences between LATE and Heckman Selection
I have heard that a paper by Heckman and Vytlacil demonstrate comparisons between nonparametric Heckman selection (NP Heckit) and the LATE (local average treatment effect) framework. Could someone ...
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