The Identification Zoo: Meanings of Identification in Econometrics

2019 ◽  
Vol 57 (4) ◽  
pp. 835-903 ◽  
Author(s):  
Arthur Lewbel
Keyword(s):  
Structural Models ◽  
Reduced Form ◽  
Weak Identification ◽  
Set Identification ◽  
New Framework

Over two dozen different terms for identification appear in the econometrics literature, including set identification, causal identification, local identification, generic identification, weak identification, identification at infinity, and many more. This survey: (i) gives a new framework unifying existing definitions of point identification; (ii) summarizes and compares the zooful of different terms associated with identification that appear in the literature; and (iii) discusses concepts closely related to identification, such as normalizations and the differences in identification between structural models and causal, reduced form models. ( JEL C01, C20, C50)

scholarly journals Empirical Estimates for how Changes in China’s Foreign Reserves Are Hurting Chinese Exports and Helping US Exports

2018 ◽  
Vol 9 (2) ◽  
pp. 55
Author(s):  
Jonathan E. Leightner
Keyword(s):  
Exchange Rate ◽  
Structural Models ◽  
Statistical Technique ◽  
Reduced Form ◽  
Omitted Variables ◽  
Foreign Reserves ◽  
Empirical Estimates ◽  
Complex Structural

This paper estimates the change in China's exports and the change in US exports due to a one dollar increase in China's foreign reserves. The statistical technique used produces reduced form estimates that capture the influence of omitted variables without having to construct and estimate complex structural models. I find that in August 2000 China's accumulation of 621 million dollars of foreign reserves is correlated with China's exports increasing by 151 million and the US's exports falling by 628 million dollars. In contrast, in November 2016, China spending 69 billion dollars of its foreign reserves supporting the value of the yuan is correlated with China's exports falling by 4.77 billion and the US's exports rising by 2.42 billion. Donald Trump's accusation that China is suppressing the yuan exchange rate to help Chinese exports at the expense of US exports did not fit the facts between August 11, 2015 and December 31, 2016.

De Novo Design of Synthetic Di-Iron(I) Complexes as Structural Models of the Reduced Form of Iron−Iron Hydrogenase

2006 ◽  
Vol 45 (4) ◽  
pp. 1552-1559 ◽  
Author(s):  
Jesse W. Tye ◽  
Marcetta Y. Darensbourg ◽  
Michael B. Hall
Keyword(s):  
De Novo ◽  
Structural Models ◽  
De Novo Design ◽  
Reduced Form ◽  
Iron Hydrogenase ◽  
Iron Iron

scholarly journals What Have We Learned from Structural Models?

2017 ◽  
Vol 107 (5) ◽  
pp. 287-292 ◽  
Author(s):  
Richard Blundell
Keyword(s):  
Decision Making ◽  
Economic Model ◽  
Unobserved Heterogeneity ◽  
Structural Models ◽  
Model Specification ◽  
Reduced Form ◽  
Structural Function ◽  
Underlying Mechanisms ◽  
Observed Behavior

A structural economic model is one where the structure of decision making is incorporated in the model specification. Structural models aim to identify three distinct, but related, objects: (i) structural “deep” parameters; (ii) underlying mechanisms; (iii) policy counterfactuals. The ability to provide counterfactual predictions sets structural models apart from reduced-form models. The focus is on studies that allow a better understanding of the mechanisms underlying observed behavior and that provide reliable insights about policy counterfactuals. Emphasis is given to models that minimize assumptions on the structural function and on unobserved heterogeneity and approaches that align structural and “reduced form” moments.

scholarly journals Monte Carlo Valuation of Corporate Bonds Using Price  Data

2021 ◽  
Author(s):  
◽  
Nimesh Patel
Keyword(s):  
Structural Models ◽  
Poor Performance ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Reduced Form ◽  
Corporate Bond Market ◽  
Default Intensity ◽  
The Us ◽  
Form Model ◽  
Reduced Form Model

<p>Corporate debt securities play a large part in financial markets and hence accurate modeling of the prices of these securities is integral. Ericsson and Reneby (2005) state that the corporate bond market in the US doubled between 1995 and 2005 and is now larger than the market for US treasuries. Although the theoretical corporate bond pricing literature is vast, very little empirical research to test the effectiveness of these models has been published. Corporate bond pricing models are split into two families of models. The first, are the structural models which endogenise default by modeling it as an event that may eventuate due to the insolvency of the underlying firm. The second family of models is the newer class of reduced-form models that exogenise default by modeling it as some random process (default intensity). The reduced-form models have been formulated largely due to the empirical failures of the structural family to accurately model prices and spreads. However as Ericsson and Reneby (2005) point out, an inadequate estimation approach may explain the poor performance of the structural models. Structural models are, therefore, the focus of this paper. We, however, do estimate a reduced-form model in order to make a comparison between the two types of model. There are no published papers (to my knowledge) in which both types of model are implemented ...</p>

scholarly journals PRICING MODELS OF COVERED BONDS—A NORDIC STUDY / PADENGTŲ OBLIGACIJŲ KAINODAROS MODELIS: ŠIAURĖS ŠALIŲ TYRIMAS

2011 ◽  
Vol 15 (1) ◽  
pp. 1-9 ◽  
Author(s):  
Petri Sulku ◽  
Heidi Falkenbach
Keyword(s):  
Real Estate ◽  
Structural Models ◽  
Nordic Countries ◽  
Reduced Form ◽  
Pricing Models ◽  
Dual Nature ◽  
Form Model ◽  
Competing Models ◽  
Reduced Form Model ◽  
Economic Reasoning

Covered bonds are an alternative way of investing indirectly in the debt side of real estate, which is beneficial for investors looking for alternatives to government or corporate bonds. Due to the dual nature of the protection offered by covered bonds, they have a justified place in investors' portfolios. This paper studies the pricing of covered bonds and tests it with data gathered from the nordic countries. Using the tested reduced form model, it was possible to price covered bonds with satisfactory results. The estimated model was highly statistically significant and performed according to the economic reasoning behind it. The estimated model also worked well in comparison to research conducted earlier on competing models, such as the structural models. Santrauka Padengtos obligacijos yra alternatyvus netiesioginio investavimo į nekilnojamąjį turtą būdas, naudingas investuotojams, ieškantiems vyriausybės ir įmonių obligacijų alternatyvų. Padengtoms obligacijoms siūlomos dvejopos apsaugos priemonės turi nustatytą vietą investuotojų vertybinių popierių portfeliuose. Straipsnyjetiriama padengtų obligacijų kainodara, kuri patikrinama naudojant duomenis, surinktus iš Šiaurės šalių. Taikant patikrintą modelį buvo galima nustatyti padengtų obligacijų kainą ir gauti patenkinamus rezultatus. apytikris modelis buvo statistiškai labai reikšmingas ir parengtas remiantis jam priešingu ekonominiu pagrindimu. Apytikrį modelį sėkmingai taikyti, lyginant su anksčiau atliktu tyrimu, padėjo konkurencingi modeliai, pvz., struktūriniai modeliai.

scholarly journals The Use of Structural Models in Econometrics

2017 ◽  
Vol 31 (2) ◽  
pp. 33-58 ◽  
Author(s):  
Hamish Low ◽  
Costas Meghir
Keyword(s):  
Structural Model ◽  
Policy Design ◽  
Structural Estimation ◽  
Structural Models ◽  
Reduced Form ◽  
Randomized Experiments ◽  
Dynamic Stochastic ◽  
Structural Econometric Model ◽  
Structural Econometric

This paper discusses the role of structural economic models in empirical analysis and policy design. The central payoff of a structural econometric model is that it allows an empirical researcher to go beyond the conclusions of a more conventional empirical study that provides reduced-form causal relationships. Structural models identify mechanisms that determine outcomes and are designed to analyze counterfactual policies, quantifying impacts on specific outcomes as well as effects in the short and longer run. We start by defining structural models, distinguishing between those that are fully specified and those that are partially specified. We contrast the treatment effects approach with structural models, and present an example of how a structural model is specified and the particular choices that were made. We cover combining structural estimation with randomized experiments. We then turn to numerical techniques for solving dynamic stochastic models that are often used in structural estimation, again with an example. The penultimate section focuses on issues of estimation using the method of moments.

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