变系数联立模型的局部线性工具向量变窗宽估计

摘要

在经济变量随机设计条件下,提出了一类变系数联立模型的局部线性工具向量变窗宽估计,研究了估计量的大样本性质.运用局部线性工具向量变窗宽估计对模型的变系数进行估计.利用概率论中大数定律和中心极限定理,证明了估计量的大样本性质.局部线性工具向量变窗宽估计具有相合性和渐进正态性.%Local linear estimation by Ⅳ with variable bandwidth is proposed for every structural equation in a kind of varying coefficient simultaneous equation models in the random design case for economic variables. The varying coefficient of the models is estimated by using local linear Ⅳ with variable bandwidth. The large sample properties of estimator were proved by using laws of large numbers and central limit theorems in probability. Local linear estimation by Ⅳ with variable bandwidth has two properties:consistency and asymptotic normality.