COWLES FOUNDATION FOR RESEARCH IN
COWLES FOUNDATION DISCUSSION PAPER NO. 1288
Weighted Minimum Mean-Square Distance from Independence Estimation
Donald J. Brown and Marten H. Wegkamp
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.
Keywords: Semiparametric estimation, simultaneous equations models, empirical processes, extremum estimators