Local Identification of Nonparametric and Semiparametric Models
推导了非参数非线性结构模型中局部识别的充分条件，类似于参数模型中的满秩导数条件，并应用于不可分分位数工具变量模型等，为实证研究者提供识别条件。
In parametric, nonlinear structural models a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the nonparametric, nonlinear structural models, establishing conditions under which an infinite-dimensional analog of the full rank condition is sufficient for local identification. Importantly, 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.