| 半参数计量经济联立模型的局部线性广义矩变窗宽估计 |
| |
| 引用本文： | 叶阿忠,吴相波,黄志刚.半参数计量经济联立模型的局部线性广义矩变窗宽估计[J].福州大学学报(自然科学版),2007,35(6):827-830,835. |
| |
| 作者姓名： | 叶阿忠 吴相波 黄志刚 |
| |
| 作者单位： | 福州大学管理学院,福建,福州,350002 |
| |
| 基金项目： | 国家自然科学基金资助项目(70371025)，教育部人文社会科学研究资助项目(02JA790014) |
| |
| 摘 要： | 提出半参数计量经济联立模型的局部线性广义矩变窗宽估计,并在随机设计(模型中所有变量为随机变量)下,利用极限理论研究了估计的大样本性质.研究结果表明:参数分量估计具有一致性和渐近正态性且收敛速度为n-1/2;非参数分量估计在内点处具有一致性和渐近正态性,其收敛速度达到了非参数函数估计的最优收敛速度.
|
| 关 键 词： | 半参数 联立模型 广义矩 变窗宽 渐近正态性 |
Local linear estimation by GMM with variable bandwidth for semi-parametric simultaneous equations models in econometrics |
| |
| YE A-zhong,WU Xiang-bo,HUANG Zhi-gang.Local linear estimation by GMM with variable bandwidth for semi-parametric simultaneous equations models in econometrics[J].Journal of Fuzhou University(Natural Science Edition),2007,35(6):827-830,835. |
| |
| Authors: | YE A-zhong WU Xiang-bo HUANG Zhi-gang |
| |
| Institution: | (College of Management,Fuzhou University,Fuzhou,Fujian 350002,China) |
| |
| Abstract: | This paper presents local linear estimators by GMM with variable bandwidth for every structural equation in semi-parametric simultaneous equations econometric models.The properties under large sample size were studied by using the asymptotic theory when all variables were random.The results show that the estimators of the parameters have consistency and asymptotic normality,and their convergence rates are equal to n-1/2.And the estimator of the nonparametric function has the consistency and asymptotic normality in interior points and its rate of convergence is equal to the optimal convergence rate of the nonparametric function estimation. |
| |
| Keywords: | semi-parametric simultaneous equation models GMM variable bandwidth asymptotic normality |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《福州大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《福州大学学报(自然科学版)》下载免费的PDF全文 |
|
