Working Paper

Local identification of nonparametric and semiparametric models

Authors

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

Published Date

14 November 2012

Type

Working Paper (CWP37/12)

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.


Latest version

Local identification of nonparametric and semiparametric models
Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
CWP

Previous version

Local identification of nonparametric and semiparametric models
Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
CWP17/11