变系数联立模型的局部线性工具向量变窗宽估计  

Local linear estimation by IV 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：《纺织高校基础科学学报》2011年第1期42-45,共4页Basic Sciences Journal of Textile Universities

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

摘　　要：在经济变量随机设计条件下,提出了一类变系数联立模型的局部线性工具向量变窗宽估计,研究了估计量的大样本性质.运用局部线性工具向量变窗宽估计对模型的变系数进行估计.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.局部线性工具向量变窗宽估计具有相合性和渐进正态性.Local linear estimation by IV with variable bandwidth is proposed for every structural equation in a kind of varying coefficient simultaneous equation models in the random design case for economic variables.The varying coefficient of the models is estimated by using local linear IV 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 estimation by IV with variable bandwidth has two properties：consistency and asymptotic normality.

关 键 词：变系数 局部线性工具向量变窗宽估计 相合性 渐进正态性 

分 类 号：O212.1[理学—概率论与数理统计]