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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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Version

Install

install.packages('GRS.test')

Monthly Downloads

51

Version

1.0

License

GPL-2

Maintainer

Jae H Kim

Last Published

September 11th, 2016

Functions in GRS.test (1.0)

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