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

Jun Ma and Charles Nelson
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Jun Ma: Department of Economics, Finance and Legal Studies, University of Alabama

No 256, Economics Series from Institute for Advanced Studies

Keywords: ARMA; unobserved components; state space; GARCH; zero-information-limit-condition (search for similar items in EconPapers)
JEL-codes: C12 C22 C33 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2010-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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https://irihs.ihs.ac.at/id/eprint/2017 First version, 2010 (application/pdf)

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Working Paper: Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components (2008)
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