nested and non-nested models. The test is also relatively easy to implement using standard GMM techniques. An empirical …

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 …

necessarily optimal, GMM estimator. It is also shown that the asymptotic local power of these tests is invariant with respect to … the choice of the weighting matrix for preliminary GMM estimator. Our simulations demonstrate that the proposed tests are …

Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …

This paper investigates statistical properties of the local GMM (LGMM) estimator for some time series models defined by …