CFDP 1795R

Author(s): Xiaohong ChenVictor ChernozhukovSokbae LeeWhitney Newey

Publication Date: April 2011

Revision Date: November 2012

Pages: 45

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 Codes:  C12, C13, C23