COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1795R Local Identification of Nonparametric and Semiparametric Models Xiaohong Chen, Victor Chernozhukov, Sokbae Lee, and Whitney K. Newey April 2011 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. |
