GRSTEST: Stata module to implement the Gibbons et al. (1989) test in a single-factor or multi-factor setting

Rajesh Tharyan ()

Statistical Software Components from Boston College Department of Economics

Abstract: grstest implements the grs test proposed in Gibbons, M.R., Ross, S.A. & Shanken, J., 1989. A test of the efficiency of a given portfolio. Econometrica, 57(5), 1121-1152. grstest can implement this in a single or a multifactor setting automatically depending on the number of factors supplied to it.

Language: Stata
Requires: Stata version 9
Keywords: Gibbons; Ross; Shanken; portfolio return; factor model (search for similar items in EconPapers)
Date: 2009-08-07
Note: This module may be installed from within Stata by typing "ssc install grstest". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/g/grstest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/grstest.hlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s457069

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().