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Global Identification In Nonlinear Semiparametric Models

  • Komunjer, Ivana

This note derives primitive conditions for global identification in nonlinear simultaneous equations systems. Identification is semiparametric in the sense that the latent structural disturbance is only known to satisfy a number of orthogonality restricitions with respect to observed instruments. Our contribution to the literature on identification in a semiparametric context 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. Second, we provide primitive conditions under which a parameter value that solves those restrictions is unique.

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Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt8dk0n386.

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Date of creation: 01 Jul 2007
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Handle: RePEc:cdl:ucsdec:qt8dk0n386
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  1. Jovanovic, Boyan, 1989. "Observable Implications of Models with Multiple Equilibria," Econometrica, Econometric Society, vol. 57(6), pages 1431-37, November.
  2. Beresteanu, Arie & Molinari, Francesca, 2006. "Asymptotic Properties for a Class of Partially Identified Models," Working Papers 06-07, Cornell University, Center for Analytic Economics.
  3. DEBREU, Gérard, . "Economies with a finite set of equilibria," CORE Discussion Papers RP -67, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. 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.
  5. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
  6. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09.
  7. Chernozhukov, Victor & Imbens, Guido W. & Newey, Whitney K., 2007. "Instrumental variable estimation of nonseparable models," Journal of Econometrics, Elsevier, vol. 139(1), pages 4-14, July.
  8. Federico Echenique & Ivana Komunjer, 2009. "Testing Models With Multiple Equilibria by Quantile Methods," Econometrica, Econometric Society, vol. 77(4), pages 1281-1297, 07.
  9. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
  10. Alfred Galichon & Marc Henry, 2006. "Inference in Incomplete Models," Discussion Papers 0506-28, Columbia University, Department of Economics.
  11. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, 09.
  12. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-96, January.
  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 955-68, May.
  14. Severini, Thomas A. & Tripathi, Gautam, 2006. "Some Identification Issues In Nonparametric Linear Models With Endogenous Regressors," Econometric Theory, Cambridge University Press, vol. 22(02), pages 258-278, April.
  15. 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, 09.
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