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我国宏观经济非参数联立模型的局部线性广义矩估计 被引量：4

Local Linear GMM Estimator of Nonparametric Macroeconomics Simultaneous Equation Models in China
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摘要 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,但以往的线性或非线性联立方程模型容易造成单方程的设定误差,致使联立方程的累积误差很大,不能很好地反映现实中的经济现象。本文将非参数回归模型的局部线性估计方法与传统联立方程模型估计方法相结合,首次提出了非参数计量经济联立模型的局部线性GMM估计并应用于我国宏观经济非参数联立模型且与线性联立模型进行了比较,结果表明:我国宏观经济非参数联立模型优于线性联立模型。 Simultaneous equation models play an important role in making economic policies,analyzing economic structure and economic forecasting.But linear and nonlinear simultaneous equation models often have been specifying incorrectly in every single structural equation and dont fit propely real economic situation.Combing local linear estimation method for nonparametric regression models and traditional estimation method for linear and nonlinear simultaneous equation model,this paper presents local linear estimators by GMM for every structural equation in nonparametric simultaneous equation models and applies it to nonparametric macroeconomics simultaneous equation models in China.
作者 叶阿忠
机构地区 福州大学管理学院
出处 《管理工程学报》 CSSCI 2003年第4期5-8,共4页 Journal of Industrial Engineering and Engineering Management
基金 2001年教育部人文社会科学研究重大项目(01JAZJD790004) 福州大学科技发展基金研究项目
关键词 宏观经济 非参数计量经济联立模型 局部线性GMM估计 Macroeconomics Nonparametric simultaneous equation models in econometrics local linear estimator by GMM
分类号 F123.16 [经济管理—世界经济]
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参考文献10

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同被引文献27

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引证文献4

二级引证文献2

管理工程学报
2003年 第4期

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