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 there are corresponding sufficient conditions for nonparametric models. A nonparametric rank condition and differentiability of the moment conditions with respect to a certain norm imply local identification. It turns out these conditions are slightly stronger than needed and are hard to check, so we provide weaker and more primitive conditions. We extend the results to semiparametric models. We illustrate the sufficient conditions with endogenous quantile and single index examples. We also consider a semiparametric habit-based, consumption capital asset pricing model. There we find the rank condition is implied by an integral equation of the second kind having a one-dimensional null space.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP17/11
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Local Identification
Nonparametric Models
Asset Pricing
Finanzmarkt
Capital Asset Pricing Model
Chernozhukov, Victor
Lee, Sokbae
Newey, Whitney K.
- DOI
-
doi:10.1920/wp.cem.2011.1711
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
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
- 2011
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