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.
Authors
![Sokbae "Simon" Lee](/sites/default/files/styles/square_desktop/public/2022-07/Simon%20Lee.jpg?itok=J8PnQSbc)
Research Fellow Columbia University
Sokbae is an IFS Research Fellow and a Professor at Columbia University, with an interest in Econometrics, Applied Microeconomics and Statistics.
![Person graphic](/sites/default/files/styles/square_desktop/public/2022-06/IFS-person-graphic.png?itok=hWCtTSrz)
Whitney K. Newey
![Person graphic](/sites/default/files/styles/square_desktop/public/2022-06/IFS-person-graphic.png?itok=hWCtTSrz)
Yale University
![Person graphic](/sites/default/files/styles/square_desktop/public/2022-06/IFS-person-graphic.png?itok=hWCtTSrz)
Working Paper details
- DOI
- 10.1920/wp.cem.2012.3712
- Publisher
- IFS
Suggested citation
Chen, X et al. (2012). Local identification of nonparametric and semiparametric models. London: IFS. Available at: https://ifs.org.uk/publications/local-identification-nonparametric-and-semiparametric-models-0 (accessed: 1 July 2024).
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