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Title:Local identification of nonparametric and semiparametric models PDF Logo
Authors:Chen, Xiaohong
Chernozhukov, Victor
Lee, Sokbae
Newey, Whitney K.
Issue Date:2011
Series/Report no.:cemmap working paper CWP17/11
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.
Subjects:Identification
Local Identification
Nonparametric Models
Asset Pricing
JEL:C12
C13
C23
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2011.1711
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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