Before revision:  We find that both MNR and Gen-MNR deliver significantly better in-sample fit and out-of-sample predictive accuracy than MNP. Gen-MNR outperforms MNR due to its more flexible kernel error distribution.
After revision:  We find that both MNR and Gen-MNR deliver significantly better in-sample fit and out-of-sample predictive accuracy . We also find that the benefits of the more flexible kernel error distribution.