Thanks, I've seen that page before but got lost since there are some variables used that have no explanation on what they actually are.
GRS F-Test or Gibbons, Ross and Shanken (1989).
Anyone else?
Search found 2 matches
- Wed Nov 19, 2008 3:34 pm
- Forum: Estimation
- Topic: GRS statistic
- Replies: 2
- Views: 9739
- Mon Nov 17, 2008 6:21 pm
- Forum: Estimation
- Topic: GRS statistic
- Replies: 2
- Views: 9739
GRS statistic
Hi, first of all i would like to say i'm a complete newbie to eviews. Now, i'm trying to build a GRS statistic to test the eficiency of the CAPM model and the Fama and French model. I need a single factor statistic and a mutiple factor, which involves creating matrix. After a few hours of trying I'm...