Local Identification of Nonparametric and Semiparametric Models
In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the non...
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| Format: | Article |
| Language: | en_US |
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John Wiley & Sons, Inc/Econometric Society
2015
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| Online Access: | http://hdl.handle.net/1721.1/96142 https://orcid.org/0000-0002-3250-6714 https://orcid.org/0000-0003-2699-4704 |
| _version_ | 1811097439722012672 |
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| author | Chen, Xiaohong Chernozhukov, Victor V. Lee, Sokbae Newey, Whitney K. |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Chen, Xiaohong Chernozhukov, Victor V. Lee, Sokbae Newey, Whitney K. |
| author_sort | Chen, Xiaohong |
| collection | MIT |
| description | In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the nonparametric, nonlinear structural models, establishing conditions under which an infinite dimensional analog of the full rank condition is sufficient for local identification. Importantly, 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 and semiparametric consumption-based asset pricing models. |
| first_indexed | 2024-09-23T16:59:34Z |
| format | Article |
| id | mit-1721.1/96142 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T16:59:34Z |
| publishDate | 2015 |
| publisher | John Wiley & Sons, Inc/Econometric Society |
| record_format | dspace |
| spelling | mit-1721.1/961422022-10-03T09:37:09Z Local Identification of Nonparametric and Semiparametric Models Chen, Xiaohong Chernozhukov, Victor V. Lee, Sokbae Newey, Whitney K. Massachusetts Institute of Technology. Department of Economics Chernozhukov, Victor V. Newey, Whitney K. In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the nonparametric, nonlinear structural models, establishing conditions under which an infinite dimensional analog of the full rank condition is sufficient for local identification. Importantly, 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 and semiparametric consumption-based asset pricing models. National Science Foundation (U.S.) (Grant SES-0838161) National Science Foundation (U.S.) (Grant SES-1132399) European Research Council (ERC-2009-StG-240910-ROMETA) National Research Foundation of Korea (NRF-2011-327-B00073) 2015-03-20T19:22:06Z 2015-03-20T19:22:06Z 2014-03 Article http://purl.org/eprint/type/JournalArticle 0012-9682 1468-0262 http://hdl.handle.net/1721.1/96142 Chen, Xiaohong, Victor Chernozhukov, Sokbae Lee, and Whitney K. Newey. “Local Identification of Nonparametric and Semiparametric Models.” Econometrica 82, no. 2 (March 2014): 785–809. https://orcid.org/0000-0002-3250-6714 https://orcid.org/0000-0003-2699-4704 en_US http://dx.doi.org/10.3982/ecta9988 Econometrica Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf John Wiley & Sons, Inc/Econometric Society MIT web domain |
| spellingShingle | Chen, Xiaohong Chernozhukov, Victor V. Lee, Sokbae Newey, Whitney K. Local Identification of Nonparametric and Semiparametric Models |
| title | Local Identification of Nonparametric and Semiparametric Models |
| title_full | Local Identification of Nonparametric and Semiparametric Models |
| title_fullStr | Local Identification of Nonparametric and Semiparametric Models |
| title_full_unstemmed | Local Identification of Nonparametric and Semiparametric Models |
| title_short | Local Identification of Nonparametric and Semiparametric Models |
| title_sort | local identification of nonparametric and semiparametric models |
| url | http://hdl.handle.net/1721.1/96142 https://orcid.org/0000-0002-3250-6714 https://orcid.org/0000-0003-2699-4704 |
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