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Local identification of nonparametric and semiparametric models

Authors: Xiaohong Chen , Victor Chernozhukov , Sokbae Lee and Whitney K. Newey
Date: 23 May 2011
Type: cemmap Working Paper, CWP17/11
DOI: 10.1920/wp.cem.2011.1711

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.

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Xiaohong Chen, Victor Chernozhukov, Sokbae Lee and Whitney K. Newey November 2012, Local identification of nonparametric and semiparametric models, cemmap Working Paper, CWP37/12

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