Kan, Raymond (contributor); Zhou, Guofu (contributor) - 2001 - [Elektronische Ressource]
case, we provide the GMM
version of the spanning tests and evaluate their performance using simulation. In addition, we …
compare the performance of the spanning tests under the regression approach with those under
the stochastic discount factor … alternative tests that we consider are the Wald test and the
Lagrange multiplier test. We compare their performance with the …