Asymptotics in Minimum Distance from Independence Estimation

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.

MoreLess

Year of publication:	2000-04
Authors:	Brown, Donald J. ; Wegkamp, Marten H.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Donsker class \| empirical processes \| extremum estimator \| nonlinear simultaneous equations models \| resampling estimators

More details

Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The price is None Number 1252 21 pages
Classification:	C13 - Estimation ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005593437