GRSFTEST: Stata module to perform the Gibbons, Ross, Shanken test of mean-variance efficiency of asset returns

Mengnan Zhu ()
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Mengnan Zhu: Brandeis International Business School

Statistical Software Components from Boston College Department of Economics

Abstract: grsftest calculates the Gibbons, Ross, Shanken (Econometrica, 1989) F-test statistic for the test assets and the factor portfolios. grsftest does not adjust for the degrees of freedom, when calculating estimator of the sample covariance matrix of the factor portfolios. This approach avoids a common misrepresentation of the GRS paper.

Language: Stata
Requires: Stata version 13
Keywords: GRS test; degrees of freedom adjustment; mean-variance efficiency; asset pricing (search for similar items in EconPapers)
Date: 2020-08-16
Note: This module should be installed from within Stata by typing "ssc install grsftest". 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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http://fmwww.bc.edu/repec/bocode/g/grsftest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/grsftest.sthlp help file (text/plain)

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