Browsing Department of Economics Faculty Papers by Title
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Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
(2007)This paper shows that the Zero-Information-Limit-Condition (ZILC) formulated by Nelson and Startz (2006) holds in the GARCH (1,1) model. As a result, the GARCH estimate tends to have too small a standard error relative to ...