MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998
. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M …-estimation. The ususal 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 …