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 modified versions of the existing model
selection tests and new pivotal specification and model comparison tests with improved
finite-sample properties. In addition, we provide formal tests of multiple model comparison …

… First, we propose new Lagrange multiplier tests for individual and joint testing of correct
specification of one or more asset pricing models. These new specification tests are asymptotically
chi-squared distributed and enjoy improved finitesample properties compared to the specification
test based on the HJ-distance. Second, we derive the non-degenerate joint asymptotic
distribution of the parameters and the Lagrange multipliers which are not always asymptotically
normally distributed.Third, we improve upon the … Second, we develop chi-squared versions …