Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 253-300
mixtures PMLEs instead, which are also consistent for mean and variance parameters regardless of the true distribution of the … shocks. Because such mixtures provide good approximations to many distributions, we relate the asymptotic variance of our …