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HJ distance
Posted: August 10th, 2005, 8:49 am
by ddxf
How can we actually compute the p-value for the Hansen-Jagannathan distance (1996)?I don't find the methodology very well explained in Jagannathan and Wang (1996).Did anybody implement it?Thanks,David
HJ distance
Posted: August 10th, 2005, 2:26 pm
by ddxf
HJ-distance is a GMM-based test used in CAPM to check whether all the alphas are zero. It's an alternative to Hansen J test, documented by Cochrane in "Asset pricing".If you don't use that, what do you use?
HJ distance
Posted: January 12th, 2006, 7:34 pm
by DJurdi
Hello.Did you come accross an excel application for HJ Bounds?ThanksDJ