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st: Hansen-Jagannathan distance
From
Julio Alejandro Sarmiento Sabogal <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Hansen-Jagannathan distance
Date
Wed, 12 Jun 2013 15:39:36 +0000
Dear Statalisters,
I would like to know if anybody has developed an .ado file with Hansen-Jagannathan distance (Hansen-Jagannathan 1997). I'm struggling trying to apply this method to test asset pricing models but my background doesn't allow me to develop this model by myself.
Thanks in advance,
Julio Sarmiento
HANSEN, L. P. & JAGANNATHAN, R. 1997. Assessing specification errors in stochastic discount factor models. The Journal of Finance, 52, 557-590.
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