\contentsline {chapter}{\numberline {1}Spurious Inference in the GARCH(1,1) Model when Generalized ZILC Holds: Theory and Application}{1}
\contentsline {section}{\numberline {1.1}Introduction}{1}
\contentsline {section}{\numberline {1.2}The Generalized ZILC in the GARCH(1,1) Model}{6}
\contentsline {subsection}{\numberline {1.2.1}Zero-Information-Limit Condition (ZILC)}{6}
\contentsline {subsection}{\numberline {1.2.2}Generalized ZILC in the GARCH(1,1) Model}{7}
\contentsline {section}{\numberline {1.3}Evidence of Spurious Inference from Monte Carlo Experiments}{10}
\contentsline {subsection}{\numberline {1.3.1}Inference when there is no GARCH effect}{11}
\contentsline {subsection}{\numberline {1.3.2}Inference when there is moderate GARCH effect}{12}
\contentsline {subsection}{\numberline {1.3.3}ZILC Zone and Safe Zone in the GARCH(1,1) Model}{13}
\contentsline {section}{\numberline {1.4}Application: Distorted t-statistics}{14}
\contentsline {subsection}{\numberline {1.4.1}Different Tests Compare}{14}
\contentsline {subsection}{\numberline {1.4.2}Strategy when the Research Focuses on the Significance of $\beta $}{15}
\contentsline {section}{\numberline {1.5}Application: Distorted Variance}{16}
\contentsline {subsection}{\numberline {1.5.1}Value-at-Risk Analysis in GARCH(1,1) Model}{16}
\contentsline {subsection}{\numberline {1.5.2}Parametric Bootstrapping to Calculate the Corrected Ratio for Generalized ZILC}{17}
\contentsline {section}{\numberline {1.6}Conclusion}{18}
\contentsline {section}{\numberline {1.7}Appendix}{20}
\contentsline {subsection}{\numberline {1.7.1}The Closed Form Information Matrix of the GARCH(1,1) Model}{20}
\contentsline {subsection}{\numberline {1.7.2}The Asymptotic Variance of $\beta $}{21}
\contentsline {chapter}{\numberline {2}Do Shocks to Animal Spirits Cause Output Fluctuations?}{29}
\contentsline {section}{\numberline {2.1}Introduction}{29}
\contentsline {section}{\numberline {2.2}Data}{33}
\contentsline {subsection}{\numberline {2.2.1}Consumer Confidence}{33}
\contentsline {subsection}{\numberline {2.2.2}State Coincident Indexes}{35}
\contentsline {subsection}{\numberline {2.2.3}Retail Sales}{37}
\contentsline {section}{\numberline {2.3}Econometric Methodology: Structural VAR}{38}
\contentsline {section}{\numberline {2.4}Results}{46}
\contentsline {section}{\numberline {2.5}Conclusion}{54}
