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Global Identification In Nonlinear Semiparametric Models

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  • Komunjer, Ivana

Abstract

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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  • Komunjer, Ivana, 2007. "Global Identification In Nonlinear Semiparametric Models," University of California at San Diego, Economics Working Paper Series qt8dk0n386, Department of Economics, UC San Diego.
    • Handle: RePEc:cdl:ucsdec:qt8dk0n386
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    References listed on IDEAS

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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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    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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