变系数联立模型的局部线性广义矩估计  

Local linear estimation by GMM for varying coefficient simultaneous equation models

作　　者：孙营[1] 郭鹏江[2] 夏志明[2] 

机构地区：[1]广东石油化工学院高州师范学院,广东高州525200 [2]西北大学数学系,陕西西安710127

出　　处：《西北大学学报（自然科学版）》2012年第2期190-194,共5页Journal of Northwest University（Natural Science Edition）

基　　金：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)

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。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.

关 键 词：变系数 局部线性广义矩估计 相合性 渐进正态性 

分 类 号：O212.1[理学—概率论与数理统计]