Asymptotics in Minimum Distance from Independence Estimation

Donald Brown () and Marten H. Wegkamp

No 1252, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: In this paper we introduce a family of minimum distance from independence estimators, suggested by Manski's minimum mean square from independence estimator. We establish strong consistency, asymptotic normality and consistency of resampling estimates of the distribution and variance of these estimators. For Manski's estimator we derive both strong consistency and asymptotic normality.

Keywords: Donsker class; empirical processes; extremum estimator; nonlinear simultaneous equations models; resampling estimators (search for similar items in EconPapers)
JEL-codes: C13 C30 C51 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2000-04
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1252

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