Эконометрикада параметрлерді анықтау мәселесі

Parameter estimation technique in statistics, particularly econometrics
In economics and econometrics, the parameter identification problem arises when the value of one or more parameters in an economic model cannot be determined from observable variables. It is closely related to non identifiability in statistics and econometrics, which occurs when a statistical model has more than one set of parameters that generate the same distribution of observations, meaning that multiple parameterizations are observationally equivalent. For example, this problem can occur in the estimation of multiple equation econometric models where the equations have variables in common.

More generally, consider a linear system of M equations, with M > 1. An equation cannot be identified from the data if less than M − 1 variables are excluded from that equation. This is a particular form of the order condition for identification. (The general form of the order condition deals also with restrictions other than exclusions.) The order condition is necessary but not sufficient for identification. The rank condition is a necessary and sufficient condition for identification. In the case of only exclusion restrictions, it must "be possible to form at least one nonvanishing determinant of order M − 1 from the columns of A corresponding to the variables excluded a priori from that equation" (Fisher 1966, p. 40), where A is the matrix of coefficients of the equations. This is the generalization in matrix algebra of the requirement "while it does enter the other equation" mentioned above (in the line above the formulas).