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.
|Date of creation:||Feb 2001|
|Date of revision:|
|Publication status:||Published in Econometrica (September 2002), 70(5): 2035-2051|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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