Identification and Kullback Information in the GLSEM

Dhrymes, Phoebus J.

In this paper we employ the Kullback Information apparatus in (a) obtaining the strong consistency of the maximum likelihood (ML) estimator in the standard version of the general linear structural econometric model (GLSEM); (b) deriving very succinctly the necessary and sufficient (nas) conditions for identification by the use of exclusion restriction. The arguments given in (a), however, are equally applicable to a wide class of nonlinear models and the arguments in (b) are equally applicable in the context of more general types of restrictions.



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Department of Economics, Columbia University
Department of Economics Discussion Papers, 702
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February 28, 2011

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