CFDP 1288

Weighted Minimum Mean-Square Distance from Independence Estimation

Author(s): 
Donald J. BrownMarten H. Wegkamp

Publication Date: January 2001

Pages: 31

Abstract: 

In this paper we introduce a family of semi-parametric estimators, suggested by Manski’s minimum mean-square distance from independence estimator. We establish the strong consistency, asymptotic normality and consistency of bootstrap estimates of the sampling distribution and the asymptotic variance of these estimators.

Keywords: 

Semiparametric estimation, simultaneous equations models, empirical processes, extremum estimators

See CFP: 1042