摘要
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.
出处
《数学的实践与认识》
CSCD
北大核心
2009年第6期60-66,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金(10801093)
关键词
变参数计量经济学联立模型
局部线性工具向量估计
相合收敛速度
渐近正态性
varying consistent coefficient simultaneous equations model
local linear instrumental vector convergence rate
asymptotic normality