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

Author

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  • Ma, Jun

    (Department of Economics, Finance and Legal Studies, University of Alabama)

  • Nelson, Charles R.

    (Department of Economics, University of Washington)

Abstract

No abstract is available for this item.

Suggested Citation

  • Ma, Jun & Nelson, Charles R., 2010. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Economics Series 256, Institute for Advanced Studies.
  • Handle: RePEc:ihs:ihsesp:256
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    File URL: http://www.ihs.ac.at/publications/eco/es-256.pdf
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    References listed on IDEAS

    as
    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. Ravi Bansal & Amir Yaron, 2004. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," Journal of Finance, American Finance Association, vol. 59(4), pages 1481-1509, August.
    3. Douglas Staiger & James H. Stock & Mark W. Watson, 1997. "The NAIRU, Unemployment and Monetary Policy," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 33-49, Winter.
    4. Nelson, Charles R. & Startz, Richard, 2007. "The zero-information-limit condition and spurious inference in weakly identified models," Journal of Econometrics, Elsevier, vol. 138(1), pages 47-62, May.
    5. Nelson, Charles R., 1988. "Spurious trend and cycle in the state space decomposition of a time series with a unit root," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 475-488.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Charles Nelson & Eric Zivot, 2000. "Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?," Econometric Society World Congress 2000 Contributed Papers 0692, Econometric Society.
    8. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
    9. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
    10. Peter K. Clark, 1987. "The Cyclical Component of U. S. Economic Activity," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 797-814.
    11. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
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    Cited by:

    1. Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(02), pages 287-333, April.
    2. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.

    More about this item

    Keywords

    ARMA; unobserved components; state space; GARCH; zero-information-limit-condition;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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