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Global Identification In Nonlinear Semiparametric Models

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  • Komunjer, Ivana

Abstract

This paper derives primitive conditions for global identification in nonlinear simultaneous equations systems. Identification is semiparametric in the sense tht it is based on a set of unconditional moment restrictions. Our contribution to the literature is twofold. First, we derive a set of unconditional moment restrictions on the observables that are the starting point for identification in nonlinear structural systems even in the presence of multiple equilibria. Second, we provide primitive conditions under which a parameter value that solves those restrictions is unique. We apply our results a nonlinear IV model with multiple equilibria and give sufficient conditions for identifiability of its paramters.

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  • Komunjer, Ivana, 2008. "Global Identification In Nonlinear Semiparametric Models," University of California at San Diego, Economics Working Paper Series qt2r59d87f, Department of Economics, UC San Diego.
    • Handle: RePEc:cdl:ucsdec:qt2r59d87f
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    1. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, September.
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    6. Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(2), pages 181-240, August.
    7. Debreu, Gerard, 1970. "Economies with a Finite Set of Equilibria," Econometrica, Econometric Society, vol. 38(3), pages 387-392, May.
    8. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
    9. Federico Echenique & Ivana Komunjer, 2009. "Testing Models With Multiple Equilibria by Quantile Methods," Econometrica, Econometric Society, vol. 77(4), pages 1281-1297, July.
    10. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, September.
    11. Choi, In & Phillips, Peter C. B., 1992. "Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 113-150.
    12. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, September.
    13. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-968, May.
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    Cited by:

    1. Chiappori, Pierre-Andre & Komunjer, Ivana, 2008. "Correct Specification and Identification of Nonparametric Transformation Models," University of California at San Diego, Economics Working Paper Series qt4v12m2rg, Department of Economics, UC San Diego.
    2. Komunjer, Ivana, 2009. "Global identification of the semiparametric Box-Cox model," Economics Letters, Elsevier, vol. 104(2), pages 53-56, August.

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