Theory of Weak Identification in Semiparametric Models

Tetsuya Kaji

Papers from arXiv.org

Abstract: We provide general formulation of weak identification in semiparametric models and an efficiency concept. Weak identification occurs when a parameter is weakly regular, i.e., when it is locally homogeneous of degree zero. When this happens, consistent or equivariant estimation is shown to be impossible. We then show that there exists an underlying regular parameter that fully characterizes the weakly regular parameter. While this parameter is not unique, concepts of sufficiency and minimality help pin down a desirable one. If estimation of minimal sufficient underlying parameters is inefficient, it introduces noise in the corresponding estimation of weakly regular parameters, whence we can improve the estimators by local asymptotic Rao-Blackwellization. We call an estimator weakly efficient if it does not admit such improvement. New weakly efficient estimators are presented in linear IV and nonlinear regression models. Simulation of a linear IV model demonstrates how 2SLS and optimal IV estimators are improved.

Date: 2019-08, Revised 2020-08
New Economics Papers: this item is included in nep-ecm and nep-ore
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Published in Econometrica, 89(2), 733-763, March 2021

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1908.10478

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