Local Identification of Nonparametric and Semiparametric Models
Xiaohong Chen (),
Sokbae (Simon) Lee () and
No 1795R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University
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.
Keywords: Identification; Local identification; Nonparametric models; Asset pricing (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 (search for similar items in EconPapers)
Date: 2011-04, Revised 2012-11
Note: CFP 1415 & CFP 1415S
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Published in Econometrica (March 2014), 82(2): 785-809
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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 (2011)
Working Paper: Local identification of nonparametric and semiparametric models (2011)
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