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Description:
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 misspecified. We propose new pivotal specification and model comparison tests that are asymptotically chi-squared distributed. In addition, we develop modified versions of the existing model selection tests with improved finite-sample properties. Finally, we fill an important gap in the literature by providing formal tests of multiple model comparison.