Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
| Year of publication: |
2010-09
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| Authors: | Ma, Jun ; Nelson, Charles R. |
| Institutions: | Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) |
| Subject: | ARMA | unobserved components | state space | GARCH | zero-information-limit-condition |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Number 256 34 pages |
| Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; C33 - Models with Panel Data |
| Source: |
Persistent link: https://www.econbiz.de/10008678704