Parameter Identification Problem
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High Quality Content by WIKIPEDIA articles! The parameter identification problem is a problem which can occur in the estimation of multiple-equation econometric models where the equations have variables in common. More generally, the term can be used to refer to any situation where a statistical model will invariably have more than one set of parameters which generate the same distribution of observations. Consider a linear model for the supply and demand of some specific good. The quantity of the demand varies inversely with the price: a higher price decreases demand. The quantity of the supp...
High Quality Content by WIKIPEDIA articles! The parameter identification problem is a problem which can occur in the estimation of multiple-equation econometric models where the equations have variables in common. More generally, the term can be used to refer to any situation where a statistical model will invariably have more than one set of parameters which generate the same distribution of observations. Consider a linear model for the supply and demand of some specific good. The quantity of the demand varies inversely with the price: a higher price decreases demand. The quantity of the supply varies directly with the price: a higher price makes supply more profitable. Assume that, say for several years, we have data on both the price and the traded quantity of this good. Unfortunately this is not enough to identify the two equations (demand and supply) using regression analysis on observations of Q and P: of course one can not estimate a downward slope and an upward slope withone linear regression line involving only two variables. Additional variables can make it possible to identify the individual relations.
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