Small sample properties of the GMM specification test based on the Hansen–Jagannathan distance

SC Ahn, C Gadarowski - Journal of Empirical Finance, 2004 - Elsevier
Following Hansen and Jagannathan (J. Finance 52 (1997) 557), Jagannathan and Wang (J.
Finance 51 (1996) 3) propose a distance measure that estimates the maximum pricing error …
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[引用][C] Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance

SC Ahn, C Gadarowski - Journal of Empirical Finance, 2004 - ideas.repec.org
Small sample properties of the GMM specification test based on the Hansen-Jagannathan
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[引用][C] Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance

S Ahn, C Gadarowski - Journal of Empirical Finance, 2004 - econpapers.repec.org
EconPapers: Small sample properties of the GMM specification test based on the Hansen-Jagannathan
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Small Sample Properties of the Model Specification Test Based on the Hansen-Jagannathan Distance

SC Ahn, C Gadarowski - Available at SSRN 191971, 1999 - papers.ssrn.com
This paper examines finite-sample properties of a model test method developed by Hansen
and Jagannathan (1997) and Jagannathan and Wang (1996). As a model comparison tool …

Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance

SC Ahn, C Gadarowski - Journal of Empirical Finance, 2004 - infona.pl
Following Hansen and Jagannathan (J. Finance 52 (1997) 557), Jagannathan and Wang (J.
Finance 51 (1996) 3) propose a distance measure that estimates the maximum pricing error …
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[PDF][PDF] Small Sample Properties of the Model Specification Test Based on the Hansen-Jagannathan Distance

SC Ahn, C Gadarowski - public.asu.edu
This paper examines finite-sample properties of a model test method developed by Hansen
and Jagannathan (1997) and Jagannathan and Wang (1996). As a model comparison tool …

Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance

S Ahn, C Gadarowski - Journal of Empirical Finance, 2004 - asu.elsevierpure.com
Abstract Following Hansen and Jagannathan (J. Finance 52 (1997) 557), Jagannathan and
Wang (J. Finance 51 (1996) 3) propose a distance measure that estimates the maximum …