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| 线性限制下联立方程组模型的可识别性与参数估计 | |
| 引用本文： | 李勇 商文娟. 线性限制下联立方程组模型的可识别性与参数估计[J]. 北京师范大学学报(自然科学版), 1999, 35(4): 447-454 |
| 作者姓名： | 李勇 商文娟 |
| 作者单位： | 北京师范大学数学系!１００８７５，北京 |
| 摘 要： | 给出了带线性方程间限制的联立方程组模型的可识别定义及间接最小二乘估计量、两步最小二乘估计量、三步最小二乘估计量的解析表达式．进一步在可以理解的条件下证明了这些估计量的一相合性和渐近正态性．随机模拟的例子表明这些方法中三步最小二乘估计是最好的． |
| 关 键 词： | 联立方程组模型 可识别性 参数估计 线性限制 |
THE IDENTIFICATION AND PARAMETER ESTIMATION OF SIMULTANEOUS EQUATION MODELS WITH LINEAR RESTRICTION IN EQUATIONS |
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| Li Yong, Shang Guangjuan. THE IDENTIFICATION AND PARAMETER ESTIMATION OF SIMULTANEOUS EQUATION MODELS WITH LINEAR RESTRICTION IN EQUATIONS[J]. Journal of Beijing Normal University(Natural Science), 1999, 35(4): 447-454 | |
| Authors: | Li Yong Shang Guangjuan |
| Abstract: | A new definition of identification for simultaneous equations model with linearrestrictions in equations is presented. The analysis expressions of indirect least squares estimation,two -step least squares estimation, and three-step least squares esthation are given. Moreover,The consistendy and asymptotic normality for theSe estimations are proved under reasonableconditions. The simulation example shows that the three-stage least squares estimator is thebest among the above estirnators. |
| Keywords: | simultaneous equation models identification indirect least squares estimation two-step least squares estimation three-step least Squares estimation |
| 本文献已被 CNKI 维普 等数据库收录！ | |