Modelling dynamic conditional heteroscedasticity is the daily routine in time series econometrics. We propose a weighted conditional moment estimation to potentially improve the eciency of the QMLE (quasi maximum likelihood estimation). The weights of conditional moments are selected based on...

In this paper, I study the estimation of nonlinear models of spatial processes. Generalized estimating equations (GEE) are applied to cross section data with spatial correlations. I use a partial quasi-maximum likelihood estimator (PQMLE) in the first step and use a GEE approach in the second...

This paper extends previous results on the equality of OLS and GLS. We give conditions under which GLS based on two different variance matrices gives the same estimate, and also conditions under which GLS equals a GMM estimator.