Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components

Ma, Jun and Nelson, Charles R. (September 2010) Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components. IHS Economics Series 256

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Abstract or Table of Contents

from the Table of Contents: Introduction; Bias and test size when g(.) is linear; A reduced form test for non-linear g(.) and relative performance in four models; Summary and Conclusions; References; Appendices;

Item Type: IHS Series
Keywords: 'ARMA' 'Unobserved components' 'State space' 'GARCH' 'Zero-information-limit-condition'
Classification Codes (e.g. JEL): C120, C220, C330
Status: Published
Date Deposited: 26 Sep 2014 10:39
Last Modified: 21 Jul 2017 05:32
URI: http://irihs.ihs.ac.at/id/eprint/2017

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