Some theoretical aspects of econometric inference with heteroskedastic models
This Thesis is concerned with econometric inference in parametric heteroskedastic models. Each moment of the conditional distribution can be seen as a source of information which provides an estimating equation for the parameter vector. Different issues arise in the different moments concerning the identifiability of parameters, the observability of the dependent variable of the estimating equation, and the positivity restrictions implicit in even order moments. Estimators of the...[Show more]
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