Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79543
Authors: 
Chen, Xiaohong
Chernozhukov, Victor
Lee, Sokbae
Newey, Whitney K.
Year of Publication: 
2012
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP37/12
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 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, single-index IV models, and semiparametric consumption-based asset pricing models.
Subjects: 
Identification
Local Identification
Nonparametric Models
Asset Pricing
JEL: 
C12
C13
C23
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
424.67 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.