We study the properties of a quasi-maximum likelihood (QML) for the parameters of a "weak" GARCH process obtained by contemporaneous aggregation of two independent "strong" GARCH processes. The inconsistency of the Gaussian quasi-likelihood estimator (QMLE) has already been reported by Nijman &...

This paper focuses on nonseparable structural models of the form Y = m(X, U, α0) with U X and in which the structural parameter α0 contains both finite dimensional (θ0) and infinite dimensional (h0) unknown components. Our proposal is to estimate α0 by a minimum distance from...

This paper develops and implements a GMM estimator for latent class models suitable for count data. The estimator uses conditional moment restrictions derived from standard count models. Both the efficient and consistent variants are considered. The implementation of optimal GMM based on...

Fisheries are subject to multiple forms of uncertainty. One of these, parameter uncertainty, has been largely ignored in the fisheries economics literature even though it is known elsewhere (e.g., macroeconomics) to play an important role in models with a similar structure. We model management...