Local Identification of Nonparametric and Semiparametric Models

46 Pages Posted: 15 Nov 2012

See all articles by Xiaohong Chen

Xiaohong Chen

Yale University - Cowles Foundation

Victor Chernozhukov

Massachusetts Institute of Technology (MIT) - Department of Economics

Sokbae Lee

Seoul National University

Whitney K. Newey

Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: November 14, 2012

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.

Keywords: Identification, Local identification, Nonparametric models, Asset pricing

JEL Classification: C12, C13, C23

Suggested Citation

Chen, Xiaohong and Chernozhukov, Victor and Lee, Sokbae and Newey, Whitney K., Local Identification of Nonparametric and Semiparametric Models (November 14, 2012). Cowles Foundation Discussion Paper No. 1795R, Available at SSRN: https://ssrn.com/abstract=2175616 or http://dx.doi.org/10.2139/ssrn.2175616

Xiaohong Chen (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States

Victor Chernozhukov

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

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Room E52-262f
Cambridge, MA 02142
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617-253-4767 (Phone)
617-253-1330 (Fax)

HOME PAGE: http://www.mit.edu/~vchern/

Sokbae Lee

Seoul National University ( email )

Kwanak-gu
Seoul, 151-742
Korea, Republic of (South Korea)

Whitney K. Newey

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

50 Memorial Drive
E52-262D
Cambridge, MA 02142
United States
617-253-6420 (Phone)

National Bureau of Economic Research (NBER) ( email )

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Cambridge, MA 02138
United States

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