| 变系数联立模型的局部线性广义矩估计 |
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| 引用本文： | 孙营,郭鹏江,夏志明. 变系数联立模型的局部线性广义矩估计[J]. 西北大学学报(自然科学版), 2012, 0(2): 190-194 |
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| 作者姓名： | 孙营 郭鹏江 夏志明 |
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| 作者单位： | 广东石油化工学院高州师范学院;西北大学数学系 |
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| 基金项目： | 国家自然科学基金资助项目(50846021);陕西省科技发展计划基金资助项目(2002K08-G15) |
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| 摘 要： | 目的在随机设计条件下,提出了一类变系数联立模型,对模型的变系数进行了估计,研究了估计量的大样本性质。方法局部线性广义矩估计。结果利用概率论中大数定律和中心极限定理,证明了估计量的大样本性质。结论局部线性广义矩估计具有相合性和渐进正态性。
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| 关 键 词： | 变系数 局部线性广义矩估计 相合性 渐进正态性 |
Local linear estimation by GMM for varying coefficient simultaneous equation models |
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| SUN Ying,GUO Peng-jiang,XIA Zhi-ming. Local linear estimation by GMM for varying coefficient simultaneous equation models[J]. Journal of Northwest University(Natural Science Edition), 2012, 0(2): 190-194 |
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| Authors: | SUN Ying GUO Peng-jiang XIA Zhi-ming |
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| Affiliation: | 1.Gaozhou Normal College,Guangdong University of Petrochemical Technology,Gaozhou 525200,China; 2.Department of Mathematics,Northwest University,Xi′an 710127,China) |
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| Abstract: | Aim In this paper a kind of varying coefficient simultaneous equation models is prosed in the random design,the varying coefficient of the models estimated,and the large sample properties of estimator studied.Methods The local linear estimators by GMM.Results The large sample properties of estimator were proved by using laws of large numbers and central limit theorems in probability.Conclusion Local linear estimators by GMM have two properties:consistency and asymptotic normality. |
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| Keywords: | varying coefficient local linear GMM estimator consistency asymptotic normality |
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