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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