变系数EV模型基于核估计的误差方差估计

ESTIMATION OF THE ERROR VARIANCE BASED ON KERNEL ESTIMATION IN VARYING-COEFFICIENTS EV MODEL

在利用核函数法和广义最小二乘法讨论变系数EV模型系数参数估计的基础上给出了其误差方差σ~2的一种估计量(?)_n^2,证明了所定义的估计量(?)_n^2有很好的大样本性质.

In this paper, the estimation of the error variance for the varying-coefficients EV model is given by using kernel smoothing and generalized least square method. The strong consistency of the estimator is obtained.