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Asymptotics in Minimum Distance from Independence Estimation

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Author Info
Donald J. Brown () (Cowles Foundation, Yale University)
Marten H. Wegkamp

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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.

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File URL: http://cowles.econ.yale.edu/P/cd/d12b/d1252.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1252.

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Length: 21 pages
Date of creation: Apr 2000
Date of revision:
Handle: RePEc:cwl:cwldpp:1252

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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Donsker class; empirical processes; extremum estimator; nonlinear simultaneous equations models; resampling estimators;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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This page was last updated on 2009-12-22.

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