Local Identification of Nonparametric and Semiparametric Models.
In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the non...
| Published in: | Econometrica Vol. 82; no. 2; pp. 785 - 810 |
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| Main Authors: | , , , |
| Format: | Article |
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Wiley-Blackwell
Mar2014
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| Subjects: | |
| Online Access: | View this record in EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=95322764&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 95322764 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: Y pubinfo: dt: Mar2014 vid: 82 iid: 2 pid: 480 pub: Wiley-Blackwell artinfo: ui: 95322764 10.3982/ECTA9988 ppf: 785 ppct: 25 formats: tig: atl: Local Identification of Nonparametric and Semiparametric Models. aug: au: Chen, Xiaohong Chernozhukov, Victor Lee, Sokbae Newey, Whitney K. affil: Dept. of Economics, Yale University, Box 208281, New Haven, CT 06520, U.S.A.; Dept. of Economics, MIT, Cambridge, MA 02142, U.S.A.; Dept. of Economics, Seoul National University, 1 Gwanak-ro, Gwanak-gu, Seoul, 151-742, Respublic of Korea; su: Nonparametric estimation Identification (Statistics) Structural frame models Nonlinear theories Instrumental variables (Statistics) sug: subj: Nonparametric estimation Identification (Statistics) Structural frame models Nonlinear theories Instrumental variables (Statistics) keyword: asset pricing Identification local identification nonparametric models asset pricing Identification local identification nonparametric models ab: In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the nonparametric, nonlinear structural models, establishing conditions under which an infinite dimensional analog of the full rank condition is sufficient for local identification. Importantly, 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 and semiparametric consumption-based asset pricing models. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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