Monday, November 6, 2000


Donald J. Brown
Departments of Economics and Mathematics
Yale University
and
Marten H. Wegkamp
Department of Statistics
Yale University

Weighted Minimum Mean-Square Distance from Independence Estimation

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.