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, Revised 2014-04-29
Note: This module should be installed from within Stata by typing "ssc install grstest". 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/grstest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/grstest.hlp help file (text/plain)

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