Local identification of nonparametric and semiparametric models

Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee and Whitney K. Newey

No 17/11, CeMMAP working papers from Institute for Fiscal Studies

Abstract: 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.

Date: 2011-05-23
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cemmap.ac.uk/wp-content/uploads/2020/08/CWP1711.pdf (application/pdf)

Related works:
Journal Article: Local Identification of Nonparametric and Semiparametric Models (2014)
Working Paper: Local identification of nonparametric and semiparametric models (2012)
Working Paper: Local Identification of Nonparametric and Semiparametric Models (2012)
Working Paper: Local identification of nonparametric and semiparametric models (2012)
Working Paper: Local Identification of Nonparametric and Semiparametric Models (2011)
Working Paper: Local identification of nonparametric and semiparametric models (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:17/11

DOI: 10.1920/wp.cem.2011.1711

Access Statistics for this paper

More papers in CeMMAP working papers from Institute for Fiscal Studies Contact information at EDIRC.
Bibliographic data for series maintained by Dermot Watson ().