非参数计量经济联立模型的局部线性广义矩估计

Local Linear Estimation by GMM for Nonparametric Simultaneous Equation Models in Econometrics

联立方程模型在经济政策制定、经济结构分析和经济预测方面起重要作用。本文在随机设计(模型中所有变量为随机变量)下,提出了非参数计量经济联立模型的局部线性广义矩估计并利用概率论中大数定理和中心极限定理在内点处研究了它的大样本性质,证明了它的一致性和渐近正态性。它在内点处的收敛速度达到了非参数函数估计的最优收敛速度。

Simultaneous equation models play an important role in making economic policies,analyzing economic structure and economic forecasting.This paper presents local linear estimators by GMM for every structural equation in nonparametric simultaneous equation models in the random design case that all variables in model are stochastic.We prove its consistency and asymptotic normality in interior by using laws of large numbers and central limit theorems in probability.Its rates of convergence in interior points equal the optimal rate of convergence for estimating nonparametric function.