Most economic models in essence specify the mean of some explained variables, conditional on a number of explanatory variables. Since the publication of White’s (1982) Econometrica paper, a vast literature has been devoted to the quasi- or pseudo-maximum likelihood estimator (QMLE or PMLE)....

Macroeconomic or financial data are often modelled with cointegration and GARCH (Generalized Auto-Regressive Conditional Heteroskedasticity). Noticeable examples include those studies of price discovery in which stock prices of the same underlying asset are cointegrated and they exhibit...