lecture10- nonlinear regression models（lecture10——非线性回归模型）.doc

Lecture 10 – Estimating Nonlinear Regression Models References: Greene, Econometric Analysis, Chapter 10 Consider the following regression model: yt = f(xt, β) + εt t = 1,…,T xt is kx1 for each t, β is an rx1constant vector, εt is an unobservable error process and f is a (“sufficiently well-behaved”) function - f: RkxRr →R. So, each y is a (fixed) function of x and β plus an additive error term, ε. Example: The estimation problem: given f, y1,…,yT, and x1,…,xT, estimate β. The solution: estimate β by LS (NLS), ML, or GMM. The “problem”? In contrast to the linear regression case, the FOCs are nonlinear and so, in general, numerical methods must be applied to obtain (consistent) point estimates. Also, the avar matrice of β-hat will have a slightly more complicated form. Nonlinear models are commonly encountered in applied economics – largely because advances in computational mathematics and desktop/laptop computer technology have made solving nonlinear optimization problems more feasible and more reliable. Nonlinear Least Squares (NLS) Choose β-hat to minimize the SSR – FOCs – which form a set of r nonlinear equations in the r unknowns, . [In the case where f is linear in the β’s, the derivative vector df/dβ = [ x1t…xrt], r = k.] Example: Computing the NLS Estimator – In general, these FOCs must be solved numerically to find the NLS estimator of β, . (E.g., the Gauss-Newton procedure described in Greene, 10.2.3.) Some issues – choice of algorithm selecting an initial value for β-hat convergence criteria local vs. global min Asymptotic Properties of the NLS Estimator – If the x’s are weakly exogenous the errors are serially uncorrelated and homoskedastic the function f is sufficiently smooth the {xt,εt} process is sufficiently well-behaved then where σ2 = var(εt) , The NLS estimator is (under appropriate conditions), consistent, asymptotically normal and asymptotically efficient. Inferenc