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Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance
Seung Ahn
, Christopher Gadarowski
Economics
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Article
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peer-review
34
Scopus citations
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Dive into the research topics of 'Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance'. Together they form a unique fingerprint.
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Business & Economics
Small Sample Properties
100%
Specification Test
92%
Generalized Method of Moments
76%
P Value
43%
Finance
36%
Monte Carlo Analysis
25%
Sample Size
25%
Pricing Errors
24%
Distance Measure
24%
Finite Sample Properties
23%
Assets
10%
Alternatives
8%