变参数计量经济学联立模型的局部线性工具向量估计及其性质

Theory and Method of Estimation for Varying Coefficient Macroeconomics Simultaneous Equations Model

联立方程计量经济学模型在经济政策制定、经济结构分析和经济预测方面起着重要作用.利用变参数计量经济学联立模型研究我国转轨时期的宏观经济,并建立了变参数的局部线性工具向量估计.在经济变量随机设计条件下,研究了估计量的大样本性质.与我国宏观经济经典线性联立模型相比,变参数联立模型拟合效果更优.另外它也有助于克服我国经济数据不多而造成的非参数方法应用困难的现实情况.

Simultaneous equations model plays an important role in making economic policies, analyzing economic structure and forecasting. In the paper the varying coefficient macroeconomics simultaneous equations model is proposed, and its local linear instrumental vector estimators are established. The large sample properties are also studied. Empirical results show that this model is superior to classical linear model and can avoid large data problem of nonparametric application in macroeconomics in China.