References 

Barillas, F., and J. Shanken, (2018) Comparing asset pricing models, Journal of Finance, 73(2), 715-754.

Cochrane, J.H. (2011) Presidential Address: Discount rates, Journal of Finance, 66(4), 1047-1108.

Cragg, J.G., and S.G. Donald (1993) Testing identiability and specication in instrumental variable models, Econometric Theory, 9(2) 222-240.

Durbin, J. (1954) Errors in variables, Review of the International Statistical Institute, 22(1/3), 2332.

Fama, E.F., and K.R. French (1993) Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.

Fama, E.F., and K.R. French (2018) Choosing factors, Journal of Financial Economics, 128(2), 234-252.

Gibbons, M.R., S.A. Ross, and J. Shanken (1989) A test of the efficiency of a given portfolio, Econometrica, 57(5), 1121-1152.

Harvey, C.R., Y. Liu, and H. Zhu, (2015) . . . and the cross-section of expected returns, Review of Financial Studies, 29, 5-68.

Hausman, J.A. (1978) Specication tests in econometrics, Econometrica, 46(6), 12511271.

Hayeld, T. and J.S. Racine (2008) Nonparametric econometrics: the np package, Journal of Statistical Software, 27(5). URL http://www.jstatsoft.org/v27/i05/.

Maasoumi, E. and J.S. Racine (2002) Entropy and predictability of stock market returns, Journal of Econometrics, 107(2) 291312.

Nadaraya, E.A. (1964) On estimating regression, Theory of Probability and its Applications, 9(1), 1412.

Nakamura, A. and M. Nakamura (1981) On the relationships among several specication error tests presented by Durbin, Wu, and Hausman, Econometrica, 49(6), 1583-1588.

Petersen, M. (2009) Estimating standard errors in nance panel data sets: Comparing approaches, Review of Financial Studies, 22(1), 435-480.

Sargan, J.D. (1958) The estimation of economic relationships using instrumental variables, Econometrica, 26(3) 393415.

Sargan, J.D. (1975) Testing for misspecication after estimating using instrumental variables, Mimeo, London School of Economics.

Watson, G.S. (1964) Smooth regression analysis, Sankhy	a: The Indian Journal of Statistics, Series A, 26(4), 359372.

Wu, D.M. (1973) Alternative tests of independence between stochastic regressors and disturbances, Econometrica, 41(4), 733750.