Weighted Minimum Mean-Square Distance from Independence Estimation

Donald Brown () and Marten H. Wegkamp

No 1288, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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 (search for similar items in EconPapers)
JEL-codes: C14 C30 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2001-02
New Economics Papers: this item is included in nep-ifn
Note: CFP 1042
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Citations: View citations in EconPapers (2)

Published in Econometrica (September 2002), 70(5): 2035-2051

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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1288

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