The implementation of parameter estimation is a serious problem in the modeling for nonlinear simultaneous equations.For the estimator of best nonlinear two stage least squares(BNL2SLS)that Amemiya proposed,the proced...The implementation of parameter estimation is a serious problem in the modeling for nonlinear simultaneous equations.For the estimator of best nonlinear two stage least squares(BNL2SLS)that Amemiya proposed,the procedure of selecting matrix(W)of instrumental variables is presented, which is based on the calculation of alternating conditional expectation.The algorithm of BNL2SLS estimator is explored which is recommended by two steps,and its efficiency is confirmed in simulation study.It has bred prospects to apply the algorithm proposed in this paper in practice.展开更多
文摘The implementation of parameter estimation is a serious problem in the modeling for nonlinear simultaneous equations.For the estimator of best nonlinear two stage least squares(BNL2SLS)that Amemiya proposed,the procedure of selecting matrix(W)of instrumental variables is presented, which is based on the calculation of alternating conditional expectation.The algorithm of BNL2SLS estimator is explored which is recommended by two steps,and its efficiency is confirmed in simulation study.It has bred prospects to apply the algorithm proposed in this paper in practice.
