GRS F-Test or Gibbons, Ross and Shanken (1989)

[quachhao]

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

[Sabs]

Hi
Did you use Eviews for GRS test statistics?
Thanks