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The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models

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Charles Nelson
Richard Startz

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Paper provided by University of Washington, Department of Economics in its series Working Papers with number UWEC-2006-07-P.

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Date of creation: May 2007
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Publication status: Published in Journal of Econometrics, Volume Vol. 138, 47-62.
Handle: RePEc:udb:wpaper:uwec-2006-07-p

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  1. Jun Ma & Charles R. Nelson, 2008. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Working Papers UWEC-2008-06-R, University of Washington, Department of Economics, revised Sep 2008. [Downloadable!]
  2. Jun Ma & Charles Nelson & Richard Startz, 2007. "Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1), pages 1434-1434. [Downloadable!] (restricted)
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