非参数计量经济联立模型的局部线性工具变量估计

Local linear estimation with instrumental variables for non-parametric simultaneous equations econometric model

发展了一种非参数联立方程计量经济模型的估计方法。将非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 ,在随机设计下 ,提出了非参数联立方程计量经济模型的局部线性工具变量估计方法 ,并利用大数定律和中心极限定理等在内点处研究了该方法的大样本性质。结果表明 :该方法在内点处具有一致性和渐近正态性 。

This paper presents an estimation method for non-parametric simultaneous equations econometric model. A local linear estimation was used with instrumental variables, when all variables were random. A local linear estimation method for non-parametric single equation model was combined with the traditional instrumental variable method for simultaneous equations model. The properties under large sample size were studied in interior points by using large numbers law and central limit theorem. The results show that this method has consistency and asymptotic normality in interior points, and its convergence rates are equal to the optimal convergence rate of the non-parametric model estimation.