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

DOI10.2202/1558-3708.1434zbMath1225.91048OpenAlexW3121375642MaRDI QIDQ5452777

Rehim Kiliç

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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