Arbeitspapier

Local identification of nonparametric and semiparametric models

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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.

Language: Englisch

Bibliographic citation: Series: cemmap working paper ; No. CWP37/12

Classification: Wirtschaft
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models

Subject: Identification
Local Identification
Nonparametric Models
Asset Pricing

Event: Geistige Schöpfung

(who): Chen, Xiaohong
Chernozhukov, Victor
Lee, Sokbae
Newey, Whitney K.

Event: Veröffentlichung

(who): Centre for Microdata Methods and Practice (cemmap)

(where): London

(when): 2012

DOI: doi:10.1920/wp.cem.2012.3712

Handle: http://hdl.handle.net/10419/79543

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Chen, Xiaohong
Chernozhukov, Victor
Lee, Sokbae
Newey, Whitney K.
Centre for Microdata Methods and Practice (cemmap)

Time of origin

2012

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