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

François-Éric Racicot () and Raymond Théoret ()
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Raymond Théoret: Département de stratégie des affaires, Université du Québec (Montréal), et Chaire d'information financière et organisationnelle

No UQO-DSA-wp012008, RePAd Working Paper Series from Département des sciences administratives, UQO

Keywords: Asset Pricing Models; specification errors; Hausman test; GMM; optimal instruments. (search for similar items in EconPapers)
JEL-codes: C13 C19 C49 G12 G31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec and nep-ecm
Date: 2008-01-06

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Persistent link: http://EconPapers.repec.org/RePEc:pqs:wpaper:012008

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