COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

Lux et veritas

COWLES FOUNDATION DISCUSSION PAPER NO. 1288

Weighted Minimum Mean-Square Distance from Independence Estimation

Donald J. Brown and Marten H. Wegkamp

January 2001

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