COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1252

Asymptotics in Minimum Distance from Independence Estimation

Donald J. Brown and Marten H. Wegkamp

April 2000

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.