EconPapers    
Economics at your fingertips  
 

Local identification of nonparametric and semiparametric models

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

No CWP17/11, CeMMAP working papers from Centre for Microdata Methods and Practice, 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: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp1711.pdf (application/pdf)

Related works:
Journal Article: Local Identification of Nonparametric and Semiparametric Models (2014) Downloads
Working Paper: Local Identification of Nonparametric and Semiparametric Models (2012) Downloads
Working Paper: Local identification of nonparametric and semiparametric models (2012) Downloads
Working Paper: Local Identification of Nonparametric and Semiparametric Models (2011) Downloads
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:ifs:cemmap:17/11

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2019-10-09
Handle: RePEc:ifs:cemmap:17/11