GRS statistic

[hermit]

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 at the point of having all my data loaded and being hable to run regresion for four portfolios (S/L, S/H, B/L, B/H - during the period 2000-2008). I've tried to create a pool but since the sample is small I want to keep it simple.

I need some help loading vectors, matrix, transposing data FROM the output of the regresion.

Anyone has a GRS statistic up and running?

[EViews Gareth]

No idea what the GRS statistic is personally, but it looks like this might be of help:
http://www.wiwi.uni-tuebingen.de/cms/fi ... e13-06.pdf

(if you haven't already seen it!)

[hermit]

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?