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GRS.test (version 1.0)
GRS Test for Portfolio Efficiency and Its Statistical Power Analysis
Description
Computational resources for test proposed by Gibbons, Ross, Shanken (1989)
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1.2
1.1
1.0
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Install
install.packages('GRS.test')
Monthly Downloads
433
Version
1.0
License
GPL-2
Maintainer
Jae H Kim
Last Published
September 11th, 2016
Functions in GRS.test (1.0)
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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