Rockinger, Michael; Holly, Alberto; Montfort, Alain - Institut d'Économie et de Management de la Santé … - 2008
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...