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A General Bernstein--von Mises Theorem in semiparametric models
A General Bernstein von Mises Theorem semiparametric models
2013/6/14
A Bernstein-von Mises theorem is derived for general semiparametric functionals. The result is applied to a variety of semiparametric problems, in i.i.d. and non-i.i.d. situations. In particular, new ...
Local Identification of Nonparametric and Semiparametric Models
Identification Local Identification Nonparametric Models Asset Pricing
2011/6/17
In parametric models a sufficient condition for local identification is that
the vector of moment conditions is differentiable at the true parameter with full rank
derivative matrix. We show that th...