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The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
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Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 12 June 2021

Model Identification and Nonunique Structure *

Model Identification and Nonunique Structure *

(p.343) 14 Model Identification and Nonunique Structure*
The Methodology and Practice of Econometrics

David F. Hendry (Contributor Webpage)

Maozu Lu

Grayham E. Mizon

Oxford University Press

Relevance, reliability, and robustness are critical properties for an econometric model to have in order to be valuable and enduring. To establish these properties requires rigorous evaluation of models. Identification of any model's parameters is an essential attribute, so this chapter considers its three aspects of ‘uniqueness’, ‘correspondence to reality’, and ‘interpretability’. Observationally-equivalent over-identified models can co-exist, and are mutually encompassing in the population; identified models need not correspond to the underlying structure; and may be wrongly interpreted. That a given model is over-identified with all over-identifying restrictions valid (even asymptotically) is insufficient to demonstrate that it is a unique representation. Moreover, structure (as invariance under extended information) need not be identifiable. The role of structural breaks to discriminate between such representations is considered.

Keywords:   identification, uniqueness, over-identification, encompassing, structure, invariance, structural breaks

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