Peñaranda, FranciscoSentana, EnriqueUniversitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262008-06-01Journal of Econometrics, forthcominghttp://hdl.handle.net/10230/1012We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures, single-step methods such as continuously updated GMM yield numerically identical overidentifyng restrictions tests, so there is arguably a single spanning test. To prove these results, we extend optimal GMM inference to deal with singularities in the long run second moment matrix of the influence functions. Finally, we test for spanning using size and book-to-market sorted US stock portfolios.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsinfo:eu-repo/semantics/workingPaperasset pricingcontinuously updated gmmgeneralised empirical likelihoodgeneralised inverserepresenting portfoliossingular covariance matrixFinance and Accountinginfo:eu-repo/semantics/openAccess