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If \\(T_ n=T_ n(Y_ 1,\\ldots,Y_ n)\\) denotes a \\(p\\)-dimensional vector estimating function for \\(\\theta\\) then the estimate of \\(\\theta\\) will be the solution of the system of estimating equations \\(T_ n=0\\). The class \\({\\mathcal T}\\) of zero mean square integrable vector estimating functions which are a.s. differentiable with respect to \\(\\theta\\) and such that \\(E \\dot T_ n=(E \\partial T_{n,i}/\\partial \\theta_ j)\\) and \\(E T_ nT_ n'\\) are nonsingular, is considered. \\(T_ n^*\\in {\\mathcal T}_ 1\\subset {\\mathcal T}\\) is defined as \\(O_ F\\)-optimal within \\({\\mathcal T}_ 1\\) if  \\[  (E \\dot T_ n)^{-1}(E T_ nT_ n')((E \\dot T_ n)^{-1})'-(E \\dot T_ n^*)^{-1}(E T_ n^*T_ n^{*'})((E \\dot T^*_ n)^{-1})' \\]  is non-negative definite for all \\(T_ n\\in {\\mathcal T}_ 1\\). Attention is restricted to the subset \\({\\mathcal S}\\) of \\({\\mathcal T}\\) having elements  \\[  S_ n=\\sum^{n}_{i=1}(\\sum^{i}_{j=1}b_{j,i} k'_{i-j})h_ i  \\]  where \\(b_{j,i}\\) are constant vectors of dimension p and \\(h_ i\\) and \\(k_{i-j}\\) are specified vectors of dimension q satisfying \\(E(h_ i| {\\mathcal F}_{i-1})=0\\) a.s., \\(i=1,...,n\\) and \\(E(k_{i-j}| {\\mathcal F}_{i-j-1})=0\\), \\(i>j\\), where \\({\\mathcal F}_ k\\) denotes the past history \\(\\sigma\\)-field. The \\(O_ F\\)-optimal \\(S_ n^*\\) within the class \\({\\mathcal S}\\) is given.    Examples of a regression model with autoregressive errors and a general contamination model are presented to illustrate applications of the \\(O_ F\\)-optimal vector estimating function. The loss of efficiency in using \\(S_ n^*\\) in the illustrations is 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