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The functions for estimating and testing factor risk     premia implement the Fama-MachBeth (1973) <doi:10.1086/260061> two-pass     approach, the misspecification-robust approaches of Kan-Robotti-Shanken (2013)     <doi:10.1111/jofi.12035>, and the approaches based on tradable factor risk    premia of Quaini-Trojani-Yuan (2023) <doi:10.2139/ssrn.4574683>. The     functions for selecting the \"strong\" risk factors are based on the Oracle    estimator of Quaini-Trojani-Yuan (2023) <doi:10.2139/ssrn.4574683> and the     factor screening procedure of Gospodinov-Kan-Robotti (2014) <doi:10.2139/ssrn.2579821>.     The functions for evaluating model misspecification implement the HJ    model misspecification distance of Kan-Robotti (2008) <doi:10.1016/j.jempfin.2008.03.003>,    which is a modification of the prominent Hansen-Jagannathan (1997)    <doi:10.1111/j.1540-6261.1997.tb04813.x> distance.    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