摘要
联立方程计量经济学模型在经济政策制定、经济结构分析和经济预测方面起着重要作用。本文首次利用变参数计量经济学联立模型来研究我国转轨时期的宏观经济,并建立了变参数的二阶段局部线性估计。在宏观经济变量随机设计条件下,研究了估计量的大样本性质。与经典线性联立模型的比较结果表明:我国宏观经济变参数联立模型拟合效果优于线性联立模型。另外它也有助于克服我国经济数据不多而造成的非参数模型应用困难的现实情况。
Simultaneous equations model plays an important role in making economic policies, analyzing economic structure and forecasting. One type of variable coefficient macroeconomics simultaneous equations model is proposed, and its two stage local linear estimators are established. The large sample properties are also studied. Empirical results show that this model is superior to classical linear model and can avoid large data problem of nonparametric application in macroeconomics in China.
出处
《运筹与管理》
CSCD
2007年第1期71-75,81,共6页
Operations Research and Management Science
关键词
变参数计量经济学联立模型
二阶段局部线性估计
相合收敛速度
渐近正态性
varying coefficient simultaneous equations model~ two stage local linear estimation
consistent convergence rate
asymptotic normality
