Gourieroux, C; Monfort, A; Renault, E - In: Journal of Applied Econometrics 8 (1993) S, pp. 85-118
In this paper we present inference methods which are based on an 'incorrect' criterion, in the sense that the optimization of this criterion does not directly provide a consistent estimator of the parameter of interest. Moreover, the argument of the criterion, called the auxiliary parameter, may...