Local identification of nonparametric and semiparametric models
Xiaohong Chen (),
Sokbae (Simon) Lee () and
No CWP37/12, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
In parametric models a sufficient condition for local identification is that the vector of moment is differentiable at the true parameter with full rank derivative matrix. This paper shows that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities overwhelming linear effects. It give restrictions on a neighbourhood of the true value that are sufficient for local identification. These results are applied 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)
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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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