GRS.test v1.0

0

Monthly downloads

0th

Percentile

by Jae H Kim

GRS Test for Portfolio Efficiency and Its Statistical Power Analysis

Computational resources for test proposed by Gibbons, Ross, Shanken (1989)<DOI:10.2307/1913625>.

Functions in GRS.test

Name Description
GRS.optimal Optimal Level of Significance for the GRS test
GRS.Powerfunc Power functions for the GRS test
data Fama-French Data: 25 size-B/M portfolio and risk factors, obtained from French's library
GRS.test GRS test and Model Estimation Results
GRS.Power Statistical Power of the GRS test
GRS.MLtest GRS Test Statistic and p-value based on Maximum Likelihood Estimator for Covariance matrix
GRS.test-package \Sexpr[results=rd,stage=build]{tools:::Rd_package_title("#1")}GRS.testGRS Test for Portfolio Efficiency and Its Statistical Power Analysis
No Results!

Last month downloads

Details

Type Package
Date 2016-09-11
License GPL-2
NeedsCompilation no
Packaged 2016-09-15 13:58:07 UTC; JKim
Repository CRAN
Date/Publication 2016-09-15 16:16:51
Contributors Jae Kim

Include our badge in your README

[![Rdoc](http://www.rdocumentation.org/badges/version/GRS.test)](http://www.rdocumentation.org/packages/GRS.test)