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
- Thema
-
Identification
Local Identification
Nonparametric Models
Asset Pricing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Xiaohong
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
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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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