Re: st: Model identification in Stata sem()

["JVerkuilen (Gmail)" <jvverkuilen@gmail.com>]

On Fri, Dec 7, 2012 at 1:19 PM, William Buchanan
<william@williambuchanan.net> wrote:
> Hi Robert,
>
> On the slide (32) that you referenced, there may not be a "formal" warning in terms of any blaring error messages but the output that they show includes information (or more accurately a lack thereof) that would indicate problems with the model.  If you look at "chi2(-1)" and "Prob > chi2 = ." that serves as a subtle indication that the model is not identified.  Any time "." shows up in the output, it generally is an indication that there were problems fitting the model to the data and it should be investigated further.
>

There are no truly general tests of identification of a model. A
number of algebraic tests exist in many cases and I suspect that other
SEM packages are checking them. You can check local identification by
computing the Jacobian matrix and checking its rank, which must be
full. Bekker, Merckens and Wansbeek (1994) wrote a nice book on the
topic and there are some other nice articles around which I can dig up
references to if desired.

A while back someone posted an example of a model fit by -sem- (an
exploratory factor analysis) and I showed that it was unidentified.
The sign was that the standard errors were whack, so one of the best
signs is that the standard errors are massive compared to what you'd
expect. It's easiest to see this in a standardized solution, because
in that case the standard errors should be proportional to 1/sqrt(n).
If they are not, that's a sure sign that one or more parameters is
unidentified, either in the population or empirically.

http://www.stata.com/statalist/archive/2012-10/msg00525.html
http://www.stata.com/statalist/archive/2012-10/msg00526.html


Bekker, P., Merckens, A., Wansbeek, T. (1994). Identification,
Equivalent Models and Computer Algebra. Academic Press.

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