| 残差自回归半参数模型的参数估计 |
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| 引用本文： | 李智,曹石云.残差自回归半参数模型的参数估计[J].经济数学,2009,26(2):106-110. |
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| 作者姓名： | 李智 曹石云 |
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| 作者单位： | 中南大学,数学科学与计算技术学院,湖南,长沙,410075 |
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| 摘 要： | 研究了残差自回归半参数模型的参数估计，运用广义最小二乘法估计了参数部分．用随机模拟说明了运用广义最小二乘（GLSE）估计出的参数部分优于运用普通最小二乘法（OKSE）得到的估计．
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| 关 键 词： | 残差自回归 半参数模型 核函数 广义最小二乘 |
ESTIMATION METHOD IN SEMI-PARAMETRIC REGRSSION WITH AUTOREGRSSIVE ERROR |
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| LI Zhi,CAO Shi-yun.ESTIMATION METHOD IN SEMI-PARAMETRIC REGRSSION WITH AUTOREGRSSIVE ERROR[J].Mathematics in Economics,2009,26(2):106-110. |
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| Authors: | LI Zhi CAO Shi-yun |
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| Institution: | School of Mathematical Science and Computing Technology;Central South University;Changsha;Hunan 410075;China |
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| Abstract: | This paper was concerned with the estimation problem in partially linear regerssion models with serially correlated errors.The authors proposed a generalized least square estimator(GLSE) for the patametric component.A simulating was conducted to show that the estimation using GLSE is better then OLSE. |
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| Keywords: | autoregressive error semi-parametric regression model kernel function generalized least squares |
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