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

Author

Listed:
  • Mengnan Zhu

    (Brandeis International Business School)

Programming Language

Stata

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.

Suggested Citation

  • Mengnan Zhu, 2020. "GRSFTEST: Stata module to perform the Gibbons, Ross, Shanken test of mean-variance efficiency of asset returns," Statistical Software Components S458828, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:s458828
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/g/grsftest.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/g/grsftest.sthlp
    File Function: help file
    Download Restriction: no
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