一类非线性参数模型的广义矩估计法

GMM Estimation and Asymptotic Property of a Nonlinear Parameter Model

利用广义矩估计法对一类非线性参数模型yi=g(xi,β)+ei,E(ziei)=0的参数β进行估计并在此基础上讨论了此估计的渐进正态性.

In this paper, the estimator of the parameter [~ of nonlinear parameter model yi=g（xi,β）＋ei,E（ziei）=0, is proposed by the generalized method of moments. It is proved that the estimator of the parameter is asymptotically normally distributed.