Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70695
Authors: 
Gospodinov, Nikolay
Kan, Raymond
Robotti, Cesare
Year of Publication: 
2011
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2011-8
Abstract: 
This paper presents a general statistical framework for estimation, testing, and comparison of asset pricing models using the unconstrained distance measure of Hansen and Jagannathan (1997). The limiting results cover both linear and nonlinear models that could be correctly specified or misspecified. We propose new pivotal specification and model comparison tests that are asymptotically chi-squared distributed. In addition, we develop modified versions of the existing model selection tests with improved finite-sample properties. Finally, we fill an important gap in the literature by providing formal tests of multiple model comparison.
Subjects: 
asset pricing models
Hansen-Jagannathan distance
model selection
model misspecification
JEL: 
C12
C13
G12
Document Type: 
Working Paper

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