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Correct Specification and Identification of Nonparametric Transformation Models

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  • Chiappori, Pierre-Andre
  • Komunjer, Ivana

Abstract

This paper derives necessary and sufficient conditions for nonparametric transformation models to be (i) correctly specified, and (ii) identified. Our correct specification conditions come in a form of partial differential equations; when satisfied by the true distribution, they ensure that the observables are indeed generated from a nonparametric transformation model. Our nonparametric identification result is global; we derive it under conditions that are substantially weaker than full independence.

Suggested Citation

  • 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.
    • Handle: RePEc:cdl:ucsdec:qt4v12m2rg
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