Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - In: Journal of Econometrics 173 (2013) 1, pp. 108-125
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...