I want to run GRS test to check whether these 25 intercepts are jointly zero. I have run these 25 regressions with command "foreach y of varlist y1-y25 {regress `y' RM-RF, SMB, HML, RMW, CMA AND ... May 02, 2019 · GRS.stat: GRS test statistic. GRS.pval: its p-value. coef: matrix of coefficient estimates from N equations, N by (K+1) resid: matrix of residuals from N equations, T by N Mar 17, 2014 · Calculates F-Statistic and corresponding p-Value of the GRS-Test. 4.8. 5 Ratings. 8 Downloads. Updated 17 Mar 2014. View License × License ... Hello, Fama French (2015) mentions using the GRS test on their 5x5 portfolios. I cannot find the solution any where (in this forum or other places) to how to do this in SAS. I saw Google searches for GRS test for Stata, R, and Matlab but not for SAS I don't know why. 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. Stata has three commands that can test for the presence of a unit root in a time-series variable: dfuller performs the augmented DickeyFuller test, pperron performs the PhillipsPerron test, and dfgls performs a modified DickeyFuller test. arfima can also be used to investigate the order of integration. A tutorial on how to conduct and interpret F tests in Stata. First, we manually calculate F statistics and critical values, then use the built-in test command. Stata has three commands that can test for the presence of a unit root in a time-series variable: dfuller performs the augmented DickeyFuller test, pperron performs the PhillipsPerron test, and dfgls performs a modified DickeyFuller test. arfima can also be used to investigate the order of integration. Stata’s avplot command can be used with regressors already in the model, as we just did, or with potential regressors not yet in the model. In either case, avplot will produce the correct graph. The name “added-variable plot” is unfortunate in the case when the variable is already among the list The goal is to determine whether the alphas are statistically different from 0. First, we start with a matrix of factors and a matrix of test assets. We regress each excess returns of each test asset on the factors: r t e = α ^ + B ^ r K t e + e t ^ Markus Ibert, 2014. "GRSTEST2: Stata module to implement the Gibbons, Ross, Shanken (1989) test," Statistical Software Components S457786, Boston College Department of Economics. Handle: RePEc:boc:bocode:s457786 Note: This module should be installed from within Stata by typing "ssc install grstest2". Test that the sum of the coefﬁcients for x1 and x2 is equal to 4 test x1 + x2 = 4 Test the equality of two linear expressions involving coefﬁcients on x1 and x2 test 2*x1 = 3*x2 Shorthand varlist notation Joint test that all coefﬁcients on the indicators for a are equal to 0 testparm i.a The GRS test assumes returns are homoscedastic with no auto-correlation. For a robust test, using GMM is recommended (see Cochrane's Asset Pricing p230-235). This can be easily implemented using the gmm package. The package's vignette (section 3.5) provides an example for testing the CAPM using time-series regression. Make sure the portfolio returns are excess returns. There's a new package "grsftest" doing GRS test. It 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. I want to run GRS test to check whether these 25 intercepts are jointly zero. I have run these 25 regressions with command "foreach y of varlist y1-y25 {regress `y' RM-RF, SMB, HML, RMW, CMA AND ... Test statistic: F = T 1N K N h 1 + ^ f ^ 1 f ^ f i ^0^ 1 u ^; (26) where^ f the K-vector of sample means of the factors. Null distribution: F ˘F(N;T N K)(normality assumption) GRS (1979):^ 0 2^ u ^ = sr q sr2 f, where sr q is the Sharpe ratio of the (ex post) tangency portfolio spanned by the N assets and the K factors and sr f is the Sharpe ... May 02, 2019 · W statistic given in (7) of GRS (1989) <DOI:10.2307/1913625> Note. Applicable to CAPM as well as a multi-factor model Author(s) Jae H. Kim Markus Ibert, 2014. "GRSTEST2: Stata module to implement the Gibbons, Ross, Shanken (1989) test," Statistical Software Components S457786, Boston College Department of Economics. Handle: RePEc:boc:bocode:s457786 Note: This module should be installed from within Stata by typing "ssc install grstest2". Similar to the t-test output, this test yields the following result: In addition to the sdtest, Stata will perform Levene's test of equal variances. It will report the initial result as well as the same test performed with a median replacement and a 10% trimmed mean replacement, based on the thoughts of two statisticians. I've been searching around trying to find how to program a Gibbons, Ross, & Shanken (Econometrica 1989) F-test on the alphas (intercepts) from a set of regressions, and have found nothing. So either my searching skills are lacking (very possible) or this procedure is a closely guarded secret (in Stata, at least). I have little to no experience in factor model testing, and need help understanding and computing the GRS test for my paper. I have all the data and have run time-series regressions, found test statistics and standard errors for 25 portfolios based on size and BE/ME using CAPM and F&F Three-Factor model, but need to know how to compute and interpret the GRS test. Ccommand for GRS test in STATA Respected sir, I have time series data on 25 portfolios excess return (dependent variable) and 6 independent variables (RM-RF, SMB, HML, RMW, CMA AND WML). CAPM, Fama and French (1992) three-factor model, Fama and French (2015) five-factor model, GRS test. Make sure the portfolio returns are excess returns. There's a new package "grsftest" doing GRS test. It 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. The Gibbons Ross Shanken (GRS) test is what finance calls a statistical F-test for the hypothesis that all the alphas (from a set of time-series regressions) are zero. Each α i is the intercept term in a time-series regression of excess returns r i t − r t f on factors. May 02, 2019 · W statistic given in (7) of GRS (1989) <DOI:10.2307/1913625> Note. Applicable to CAPM as well as a multi-factor model Author(s) Jae H. Kim I have little to no experience in factor model testing, and need help understanding and computing the GRS test for my paper. I have all the data and have run time-series regressions, found test statistics and standard errors for 25 portfolios based on size and BE/ME using CAPM and F&F Three-Factor model, but need to know how to compute and interpret the GRS test. The function GRS.test returns the GRS test statistics with model estimation results. The function GRS.MLtest provides an alternative test statistic with theta and theta* estimation results. Stata’s avplot command can be used with regressors already in the model, as we just did, or with potential regressors not yet in the model. In either case, avplot will produce the correct graph. The name “added-variable plot” is unfortunate in the case when the variable is already among the list Markus Ibert, 2014. "GRSTEST2: Stata module to implement the Gibbons, Ross, Shanken (1989) test," Statistical Software Components S457786, Boston College Department of Economics. Handle: RePEc:boc:bocode:s457786 Note: This module should be installed from within Stata by typing "ssc install grstest2". The function GRS.test returns the GRS test statistics with model estimation results. The function GRS.MLtest provides an alternative test statistic with theta and theta* estimation results. Mar 17, 2014 · Calculates F-Statistic and corresponding p-Value of the GRS-Test. 4.8. 5 Ratings. 8 Downloads. Updated 17 Mar 2014. View License × License ...

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