变系数联立模型的局部线性广义矩变窗宽估计  

Local linear estimation by generalized method of moments with variable bandwidth for varying coefficient simultaneous equation models

作　　者：孙营[1] 郭鹏江[1] 

机构地区：[1]西北大学数学系,陕西西安710127

出　　处：《纯粹数学与应用数学》2011年第2期240-247,共8页Pure and Applied Mathematics

基　　金：国家自然科学基金(50846021);陕西省科技发展计划项目(2002K08-G15)

摘　　要：在随机设计条件下,提出了一类变系数联立模型,运用局部线性广义矩变窗宽估计,对模型的变系数进行了估计,研究了估计量的大样本性质.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,局部线性广义矩变窗宽估计具有相合性和渐进正态性.This paper prosed a kind of varying coefficient simultaneous equation models in the random design case.estimated the varying coefficient of the models,and studied the large sample properties of estimator by the local linear GMM with Variable Bandwidth.The large sample properties of estimator were proved by using laws of large numbers and central limit theorems in probability.Local linear estimators by GMM with Variable Bandwidth has two properties：consistency and asymptotic normality.

关 键 词：变系数 局部线性广义矩变窗宽估计 相合性 渐进正态性 

分 类 号：O212.1[理学—概率论与数理统计]