半参数计量经济联立模型的变窗宽估计理论.pdfVIP

2007 年中国经济学年会 投稿领域：数理经济与计量经济学 半参数计量经济联立模型的变窗宽估计理论 叶阿忠 吴相波 黄志刚 (福州大学管理学院，福建 福州 350002) 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。文章将半参数单方程计 量经济模型的局部线性估计方法与传统联立方程计量经济模型的工具变量估计方法相结合, 在随机设计 (模型中所有变量为随机变量)下, 提出了半参数联立方程计量经济模型的局部线性工具变量变窗宽估计方 法, 并利用极限理论研究了估计的大样本性质。结果表明：参数分量的估计具有一致性和渐近正态性且收 敛速度为 n-1/2 ；非参数分量估计在内点处具有一致性和渐近正态性, 其收敛速度达到了非参数函数估计的 最优收敛速度。 关键词：半参数模型；局部线性估计；工具变量估计；变窗宽估计；渐近正态性 Theory of variable bandwidth estimation for semi-parametric simultaneous equations econometric models YE Azhong, WU Xiangbo, HUANG Zhigang (College of Management, Fuzhou University, Fuzhou, Fujian 350002) Abstract: Econometric simultaneous equation models play an important role in making economic policies, analyzing economic structure and economic forecasting. This paper presents an estimation method for semi-parametric simultaneous equations econometric model. A local linear estimation with variable bandwidth was used with instrumental variables, when all variables were random. A local linear estimation method for semi-parametric single equation model was combined with the traditional instrumental variable method for simultaneous equations model. The properties under large sample size were studied by using the asymptotic theory. The results show that the estimators of the parameters have consistency and asymptotic normality, and their -1/2 convergence rates are equal to n . And the estimator of the nonparametric function has the consistency and asymptotic normality in interior points and its rate of convergence is e