scalar diffusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach … contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt …?espérance de chaque polynôme de Hermite est nulle. L?approche GMM est utile pour deux raisons. Elle nous permet de tenir compte du …

. We establish the direct links between the usual parametric estimation methods, namely the QMLE, the GMM and the M …-estimation. The usual univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate … QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms …