非参数计量经济联立模型的局部线性两阶段最小二乘变窗宽估计  

Local Linear Estimation by TSLS with Variable Bandwidth for Nonparametric Simultaneous Equation Models in Econometrics

作　　者：叶阿忠[1] 

机构地区：[1]福州大学管理学院,福建福州350002

出　　处：《数学的实践与认识》2004年第1期13-18,共6页Mathematics in Practice and Theory

基　　金：2 0 0 1年教育部人文社会科学重点研究基地重大项目 ( 0 1 JAZJD790 0 0 4)

摘　　要：联立方程模型在经济政策制定、经济结构分析和经济预测方面起重要作用 .本文在随机设计 (模型中所有变量为随机变量 )下 ,提出了非参数计量经济联立模型的局部线性两阶段最小二乘变窗宽估计并利用概率论中大数定理和中心极限定理在内点处研究了它的大样本性质 ,证明了它的一致性和渐近正态性 .它在内点处的收敛速度达到了非参数函数估计的最优收敛速度 .Simultaneous equation models play an important role in making economic policies, analyzing economic structure and economic forecasting. This paper presents local linear estimators by TSLS with Variable Bandwidth for every structural equation in nonparametric simultaneous equation models in the random design case that all variables in model are stochastic. We prove its consistency and asymptotic normality in interior by using laws of large numbers and central limit theorems in probability. Its rates of convergence in interior points equal the optimal rate convergence for estimating nonparametric function.

关 键 词：最小二乘变窗宽估计 随机变量 概率论 大数定理 中心极限定理 一致性 渐近正态性 

分 类 号：O211.6[理学—概率论与数理统计]