Creating GameObjects and MonoBehaviours

I want to use coroutines with an object created on the fly.
I make:

GameObject _instance = new GameObject("My Timer");
MonoBehaviour _mono = _instance.AddComponent<MonoBehaviour> ();

inside MyClass.
Is is correct?
If so, why on the inspector (when pressing PLAY), I read “The associated script can not be loaded. Please fix any compile errors and assign valid script”?

You use the name of the script (or the class name) and not MonoBehaviour.