非参数方法下条件矩限制回归模型的广义矩估计

GMM Estimator of Parameter for Conditional Moment Restriction Model with Nonparametric Method

摘要: 本文讨论条件矩限制回归模型的参数估计.使用非参数估计方法给出条件密度和条件均值的估计,在此基础上给出参数的广义矩估计.进一步讨论了估计的渐近正态性.

Abstract: In this paper, the estimator of the parameter is discussed for conditional moment restriction model. The conditional density and the conditional mean are estimated by nonparametric method. Then the estimator of the parameter is proposed by the generalized method of moments. We show that the estimator of the parameter is asymptotically normally distributed.