Arbeitspapier
Local identification of nonparametric and semiparametric models
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities overwhelming linear effects. We give restrictions on a neighborhood of the true value that are sufficient for local identification. We apply these results to obtain new, primitive identification conditions in several important models, including nonseparable quantile instrumental variable (IV) models, single-index IV models, and semiparametric consumption-based asset pricing models.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP37/12
Klassifikation
Wirtschaft
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Thema
Identification
Local Identification
Nonparametric Models
Asset Pricing
Local Identification
Nonparametric Models
Asset Pricing
Ereignis
Geistige Schöpfung
(wer)
Chen, Xiaohong
Chernozhukov, Victor
Lee, Sokbae
Newey, Whitney K.
Chernozhukov, Victor
Lee, Sokbae
Newey, Whitney K.
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2012
- DOI
-
doi:10.1920/wp.cem.2012.3712
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Xiaohong
- Chernozhukov, Victor
- Lee, Sokbae
- Newey, Whitney K.
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2012
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