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高校应用数学学报
Applied Mathematics A Journal of Chinese Universities  2018, Vol. 33 Issue (2): 140-156    DOI:
    
GMM estimation of nonparametric spatial lag model
LI Kun-ming1 , CHEN Jian-bao2
1. College of Economics, Fujian Agriculture and Forestry University, Fuzhou 350002, China;
2. College of Mathematics and Informatics, Fujian Normal University , Fuzhou 350117, China
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Abstract  By relaxing the hypothesis that the in°uence of independent variable in parametric
spatial lag model is a linear or nonlinear function of some known form, a nonparametric spatial lag
model with random independent variables is considered. The GMM estimation method of the model
is constructed, the asymptotic properties of the estimators are derived and the small sample perfor-
mances of the estimates are investigated by Monte Carlo simulation.In addition, the estimation methods
proposed are applied to estimate the growth rate of TFP of China's provinces and municipalities.

Key words： Keywords              non-parametric spatial lag model        GMM estimation       asymptotic property       Monte Carlo simulation
     
Published: 25 July 2018
CLC:  O212.4  
  O212.7  
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Cite this article:

. GMM estimation of nonparametric spatial lag model. Applied Mathematics A Journal of Chinese Universities, 2018, 33(2): 140-156.

URL:

http://www.zjujournals.com/amjcua/     OR     http://www.zjujournals.com/amjcua/Y2018/V33/I2/140


非参数空间滞后模型的广义矩估计

 放松了参数空间滞后模型中自变量的影响为已知的线性或非线性形式假设,
考虑一类非内生自变量为随机变量的非参数空间滞后模型, 构建了该模型的广义矩估
计法, 导出了其估计量的渐近性质, 用Monte Carlo模拟方法考察了估计量的小样本表
现. 此外还将所提出的估计方法应用于估算我国各省市全要素生产率增长率.

关键词： 非参数空间滞后模型 ,   广义矩估计 ,   ,  渐近性质 ,   Monte Carlo模拟 
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