Local Linear Estimation by TSLS with Variable Bandwidth for Semi-parametric Simultaneous Equation Models in Econometrics

摘要

Econometric simultaneous equation models play an important role in making economic policies, analyzing economic structure and economic forecasting. This paper presents local linear estimators by TSLS with variable bandwidth for every structural equation in semi-parametric simultaneous equation models in econometrics. The properties under large sample size were studied by using the asymptotic theory when all variables were random. The results show that the estimators of the parameters have consistency and asymptotic normality, and their convergence rates are equal to n~(-1/2). And the estimator of the nonparametric function has the consistency and asymptotic normality in interior points and its rate of convergence is equal to the optimal convergence rate of the nonparametric function estimation.