GRSTEST2: Stata module to implement the Gibbons, Ross, Shanken (1989) test

Markus Ibert ()
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Markus Ibert: HHS, Sweden

Statistical Software Components from Boston College Department of Economics

Abstract: The module calculates the Gibbons, Ross, Shanken (1989) F-test for the joint null hypothesis that N estimated intercepts from N time-series regressions are equal to zero. The test is frequently employed to assess asset pricing model performance.

Language: Stata
Requires: Stata version 12
Keywords: GRS test; Gibbons; Ross; Shanken; asset pricing (search for similar items in EconPapers)
Date: 2014-02-06
Note: This module should be installed from within Stata by typing "ssc install grstest2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/g/grstest2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/grstest2.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457786

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