Hi guys,

I am trying to understand Bao's paper "Comparing Density Forecast Models (2007)". Specifically, page 6, link:
http://www.faculty.ucr.edu/~taelee/paper/BaoLeeSaltoglu_KLIC.pdf

There, he constructs an AR(p) process, with innovations which are from the semi-nonparametric density function of (Gallant and Nychka - "Semi-nonparametric maximum likelihood estimation" 1987). From what I understand, this density "nests" the standard normal distribution, so that if the data is really standard normally distributed, then the density degenerates to N(0,1).

I tried looking for it on rseek.org and google, but couldn't find anything - even on.  Has anybody had some experience with it, or any idea where to find code for it? 
Would greatly appreciate any help!

Best Regards,

Stefan

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