Hi all,
Does any of you have an idea about how high the value of GRS should be in the test of models such as Fama French. I got the F-test at around 9-10 but when look at the literature most people report below 5. I am a bit confused as I am new to this area.
Thanks,
QH
GRS F-Test or Gibbons, Ross and Shanken (1989)
Moderators: EViews Gareth, EViews Moderator
Re: GRS F-Test or Gibbons, Ross and Shanken (1989)
Hi
Did you use Eviews for GRS test statistics?
Thanks
Did you use Eviews for GRS test statistics?
Thanks
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