Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

DOI10.2202/1558-3708.1434MaRDI QIDQ5452777zbMATH OpenOpenAlexFDO

Authors Rehim Kılıç

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1434

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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