# 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 ...
13 views

### 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 ...
30 views

### 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 ...
14 views

### 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 ...
53 views

### 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 ...
33 views

### 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 ...
109 views

### 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} ...
116 views

### 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 $m_t$ ...
143 views

### 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 ...
1 vote
40 views

### 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 ...
5k views

### 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 ...
19 views

### 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 ...
1 vote
49 views

### 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/...
488 views

### 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-...
165 views

### 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, ...
119 views

### 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 ...
1 vote
82 views

### 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 ...
75 views

### 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 ...
832 views

### 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 ...
179 views

### 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 $x_1$....
13k views

### 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 ...