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~institution:"Economics Department, Queen's University"
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Covariance matrix estimation
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Factor models
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Finite sample properties
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Hansen-Jagannathan distance
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Shrinkage method
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Shimotsu, Katsumi
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Economics Department, Queen's University
Faculty of Economics, University of Cambridge
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School of Economics and Political Science, Universität St. Gallen
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Institute for the Study of Labor (IZA)
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Improvement in
Finite
Sample
Properties
of the Hansen-Jagannathan Distance Test
Ren, Yu
;
Shimotsu, Katsumi
-
Economics Department, Queen's University
-
2007
proposes to improve the
finite
sample
properties
of the HJ-distance test by applying the shrinkage method (Ledoit and Wolf …
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