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Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns

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Author Info
Francois-Éric Racicot () (Département des sciences administratives, Université du Québec (Outaouais), LRSP et Chaire d'information financière et organisationnelle)
Raymond Théoret () (Département de stratégie des affaires, Université du Québec (Montréal), et Chaire d'information financière et organisationnelle)

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Abstract

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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/fer200805.pdf
File Format: application/pdf
File Function: First version, 2008
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Publisher Info
Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp012008.

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Length: 52 pages
Date of creation: 06 Jan 2008
Date of revision:
Handle: RePEc:pqs:wpaper:012008

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Related research
Keywords: Asset Pricing Models specification errors Hausman test GMM optimal instruments.

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Other
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Investment Policy

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This page was last updated on 2008-11-17.

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