Weighted Minimum Mean-Square Distance from Independence Estimation

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.

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Year of publication:	2001-02
Authors:	Brown, Donald J. ; Wegkamp, Marten H.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Semiparametric estimation \| simultaneous equations models \| empirical processes \| extremum estimators

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 1042 Published in Econometrica (September 2002), 70(5): 2035-2051 The price is None Number 1288 31 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762699