15. Choice of Identification Criterion
The selection of an identification method is one of the important decisions to be taken in system identification. In Chapter 7, we have structured the abundant supply of candidates. Different aspects and results on various methods have been mentioned in earlier chapters. It is the purpose of the present chapter to sum up these and also discuss how different options affect the properties of the resulting estimates.
A general discussion is given in Section 15.1. The particular problem of choosing the norm l(·) for the prediction-error method (7.155) or the shaping function α(·) in (7.156) is studied in Section 15.2. Section 15.3 deals with optimal instruments for the IV method and their approximate implementation. ...
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