| 可识别联立方程组模型的一种参数估计方法 |
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| 引用本文： | 徐松,李勇.可识别联立方程组模型的一种参数估计方法[J].北京师范大学学报(自然科学版),2010,46(5). |
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| 作者姓名： | 徐松 李勇 |
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| 作者单位： | 北京师范大学数学科学学院,100875,北京;北京林业大学理学院,100083,北京;北京师范大学数学科学学院,100875,北京 |
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| 基金项目： | 国家自然科学基金资助项目，教育部科学技术研究重大资助项目 |
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| 摘 要： | 在可识别的条件下构造出一种线性联立方程组模型中参数估计方法.该方法具有相合性和渐近正态性,并且比二步最小二乘法计算量小.数据模拟结果表明,我们所提方法在某些方面好于间接最小二乘法,其估计精度接近于二步最小二乘法和三步最小二乘法.
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| 关 键 词： | 联立方程组模型 间接最小二乘法 二步最小二乘法 三步最小二乘法 |
A PARAMETER ESTIMATE METHOD FOR IDENTIFIED SIMULTANEOUS EQUATIONS MODEL |
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| XU Song,LI Yong.A PARAMETER ESTIMATE METHOD FOR IDENTIFIED SIMULTANEOUS EQUATIONS MODEL[J].Journal of Beijing Normal University(Natural Science),2010,46(5). |
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| Authors: | XU Song LI Yong |
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| Institution: | XU Song1,2) LI Yong1)(1)School of Mathematical Sciences,Beijing Normal University,100875,Beijing,China,2)College of Science,Beijing Forestry University,100083,China) |
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| Abstract: | A parameter estimate method is presented with consistency and asymptotic normality for identified simultaneous equations model.The calculated amount of this method is smaller than the two-step least square method.Results of numerical simulation show that this method is better than indirect least square method in certain respects,estimated accuracy of this method is close to two-step least square estimate. |
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| Keywords: | simultaneous equations model indirect least square method two-step least square method three-step least square method |
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