Strange identification

Estimation
1

Dear Johannes,
First thank you for your helpful guidance last time in the forum.
I have a question.
What is the main interpretation of the identification analysis of my model? Is there an identification problem? Does this problem mean that some coefficients are not identified?
Can you please provide some deeper insights into the problem? Thanks a lot!!! The zip file includes the mod. and data files.region.zip (27.4 KB)

Thanks for help!

==== Identification analysis ====

Testing current parameter values
The number of moments with non-zero derivative is smaller than the number of parameters
Try increasing ar = 2
Evaluating simulated moment uncertainty … please wait
Doing 195 replicas of length 300 periods.
Simulated moment uncertainty … done!

WARNING !!!
The rank of H (model) is deficient!

SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_y is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_y)=0 for all tau elements in the model solution!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_pf\_f is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_pf\_f)=0 for all tau elements in the model solution!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_c is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_c)=0 for all tau elements in the model solution!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_h is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_h)=0 for all tau elements in the model solution!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_rf is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_rf)=0 for all tau elements in the model solution!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_G is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_G)=0 for all tau elements in the model solution!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_Gf is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_Gf)=0 for all tau elements in the model solution!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_C\_f is not identified in the model!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_C\_f)=0 for all tau elements in the model solution!]
alpha_N is not identified in the model!
[dJ/d(alpha_N)=0 for all tau elements in the model solution!]
g_yf is not identified in the model!
[dJ/d(g_yf)=0 for all tau elements in the model solution!]
gammay is not identified in the model!
[dJ/d(gammay)=0 for all tau elements in the model solution!]
omega_r is not identified in the model!
[dJ/d(omega_r)=0 for all tau elements in the model solution!]
vepsilon is not identified in the model!
[dJ/d(vepsilon)=0 for all tau elements in the model solution!]
rho_rf is not identified in the model!
[dJ/d(rho_rf)=0 for all tau elements in the model solution!]
tetha is not identified in the model!
[dJ/d(tetha)=0 for all tau elements in the model solution!]
tyf is not identified in the model!
[dJ/d(tyf)=0 for all tau elements in the model solution!]
pfSS is not identified in the model!
[dJ/d(pfSS)=0 for all tau elements in the model solution!]
pf_fSS is not identified in the model!
[dJ/d(pf_fSS)=0 for all tau elements in the model solution!]
pi_fSS is not identified in the model!
[dJ/d(pi_fSS)=0 for all tau elements in the model solution!]
rSS is not identified in the model!
[dJ/d(rSS)=0 for all tau elements in the model solution!]
tau_PSS is not identified in the model!
[dJ/d(tau_PSS)=0 for all tau elements in the model solution!]

WARNING !!!
The rank of J (moments) is deficient!

SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_y is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_y)=0 for all J moments!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_pf\_f is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_pf\_f)=0 for all J moments!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_c is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_c)=0 for all J moments!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_h is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_tau\_h)=0 for all J moments!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_rf is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_rf)=0 for all J moments!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_G is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_G)=0 for all J moments!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_Gf is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_Gf)=0 for all J moments!]
SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_C\_f is not identified by J moments!
[dJ/d(SE_SE_SE_SE_SE_SE_SE_SE_SE_SE_xi\_C\_f)=0 for all J moments!]
alpha_N is not identified by J moments!
[dJ/d(alpha_N)=0 for all J moments!]
g_yf is not identified by J moments!
[dJ/d(g_yf)=0 for all J moments!]
gammay is not identified by J moments!
[dJ/d(gammay)=0 for all J moments!]
omega_y is not identified by J moments!
[dJ/d(omega_y)=0 for all J moments!]
omega_r is not identified by J moments!
[dJ/d(omega_r)=0 for all J moments!]
vepsilon is not identified by J moments!
[dJ/d(vepsilon)=0 for all J moments!]
rho_rf is not identified by J moments!
[dJ/d(rho_rf)=0 for all J moments!]
tetha is not identified by J moments!
[dJ/d(tetha)=0 for all J moments!]
tyf is not identified by J moments!
[dJ/d(tyf)=0 for all J moments!]
rho_C_f is not identified by J moments!
[dJ/d(rho_C_f)=0 for all J moments!]
rho_pf_f is not identified by J moments!
[dJ/d(rho_pf_f)=0 for all J moments!]
pfSS is not identified by J moments!
[dJ/d(pfSS)=0 for all J moments!]
pf_fSS is not identified by J moments!
[dJ/d(pf_fSS)=0 for all J moments!]
pi_fSS is not identified by J moments!
[dJ/d(pi_fSS)=0 for all J moments!]
rSS is not identified by J moments!
[dJ/d(rSS)=0 for all J moments!]
tau_PSS is not identified by J moments!
[dJ/d(tau_PSS)=0 for all J moments!]

[mu_g,g_y] are PAIRWISE collinear (with tol = 1.e-10) !
[phi_g,mu_gf] are PAIRWISE collinear (with tol = 1.e-10) !

alpha is collinear w.r.t. all other params!
eta is collinear w.r.t. all other params!
gammac is collinear w.r.t. all other params!
c_y is collinear w.r.t. all other params!
phi is collinear w.r.t. all other params!
sigma is collinear w.r.t. all other params!
vphi is collinear w.r.t. all other params!
t_y is collinear w.r.t. all other params!
mu_c is collinear w.r.t. all other params!
mu_h is collinear w.r.t. all other params!
rho_G is collinear w.r.t. all other params!
rho_Gf is collinear w.r.t. all other params!
tau_c_ss is collinear w.r.t. all other params!
rho_tau_c is collinear w.r.t. all other params!
tau_h_ss is collinear w.r.t. all other params!
rho_tau_h is collinear w.r.t. all other params!
phi_b is collinear w.r.t. all other params!

==== Identification analysis completed ====

Best,
Leonid

2

Yes, you have serious identification issues. Among other things, you are trying to estimate parameters that do not even show up in the model (pi_fSS). Similarly, you are not taking parameter dependence into account. tetha only enters via lambda, but lambda is updated based on tetha, because you defined it as a separate parameter instead of a model-local variable

3

Thank Prof. Pfeifer for your answers.
But I have another question.
Which means the collinearity of these parameters.

alpha is collinear w.r.t. all other params!
eta is collinear w.r.t. all other params!
gammac is collinear w.r.t. all other params!
c_y is collinear w.r.t. all other params!
phi is collinear w.r.t. all other params!
sigma is collinear w.r.t. all other params!
vphi is collinear w.r.t. all other params!
t_y is collinear w.r.t. all other params!
mu_c is collinear w.r.t. all other params!
mu_h is collinear w.r.t. all other params!
rho_G is collinear w.r.t. all other params!
rho_Gf is collinear w.r.t. all other params!
tau_c_ss is collinear w.r.t. all other params!
rho_tau_c is collinear w.r.t. all other params!
tau_h_ss is collinear w.r.t. all other params!
rho_tau_h is collinear w.r.t. all other params!
phi_b is collinear w.r.t. all other params!

Can they be identified separately?
Best,
Leonid.

4

No, they can not. All the mentioned parameters cannot be identified given the model at hand