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

Journal of Empirical Finance

Volumn 11, Issue 1, 2004, Pages 109-132

  Ahn, Seung C ^a   Gadarowski, Christopher ^b  

^a ARIZONA STATE UNIVERSITY   (United States)

^b ROWAN UNIVERSITY   (United States)

Author keywords

Empirical p value; Finite sample properties; Generalized method of moments; Hansen Jagannathan distance; Pricing error

Indexed keywords

EID: 0348159711     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2002.09.001     Document Type: Article

References (23)

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