Theory of variable bandwidth estimation for non2parametric simultaneous equation econometric models
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    Abstract:

    This paper presents an estimation method for non2parametric simultaneous equations econometric model . A local linear estimator with variable bandwidth was used with instrumental variables , when all variables were ran2 dom. A local linear estimation method for non2parametric regression models was combined with the traditional instru2 mental variable method for linear and nonlinear simultaneous equation model . The properties under large sample size were studied in interior points by using laws of large numbers and central limit theorem in probability. The results show that this method has consistency and asymptotic normality in interior points , and its rates of convergence are equal to optimal convergence rate of the non2parametric model estimation

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