centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Local identification of nonparametric and semiparametric models

Authors: Xiaohong Chen , Victor Chernozhukov , Sokbae Lee and Whitney K. Newey
Date: 14 November 2012
Type: cemmap Working Paper, CWP37/12
DOI: 10.1920/wp.cem.2012.3712

Abstract

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.

Download full version
Now published:
Xiaohong Chen, Victor Chernozhukov, Sokbae Lee and Whitney K. Newey March 2014, Local identification of nonparametric and semiparametric models, Journal Article, Wiley Online Library
Previous version:
Xiaohong Chen, Victor Chernozhukov, Sokbae Lee and Whitney K. Newey May 2011, Local identification of nonparametric and semiparametric models, cemmap Working Paper, CWP17/11

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us