EViews.com

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?

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!)

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?