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.

MoreLess

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

More details

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