Re: st: Model identification in Stata sem()

[W Robert Long <W.R.Long@leeds.ac.uk>]

Thank you very much

On 08/12/2012 06:26, JVerkuilen (Gmail) wrote:
> 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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