LOCAL IDENTIFICATION OF NONPARAMETRIC AND SEMIPARAMETRIC MODELS
LOCAL IDENTIFICATION OF NONPARAMETRIC AND SEMIPARAMETRIC MODELS
复制标题
DOI：
10.3982/ecta9988
复制
发表时间：
2014-03-01
期刊：
影响因子：
6.1
通讯作者：
Newey, Whitney K.
中科院分区：
文献类型：
--
作者：
Chen, Xiaohong;Chernozhukov, Victor;Newey, Whitney K.
在参数、非线性结构模型中，像Fisher(1966)和Rothenberg(1971)一样，局部辨识的一个经典充分条件是矩条件的向量在具有满阶导数矩阵的真参数处可微。对于非参数的、非线性的结构模型，我们得到了一个类似的结果，建立了无限维满秩类比充分用于局部辨识的条件。重要的是，我们证明了在非线性、非参数模型中经常需要附加条件来避免非线性压倒线性效应。我们给出了对真值邻域的限制条件，这些限制条件对于局部识别是充分的。我们将这些结果应用于几个重要的模型，包括不可分离分位数辅助变量(IV)模型和基于消费的半参数资产定价模型，得到了新的原始识别条件。
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.