GRSTEST: Stata module to implement the Gibbons et al. (1989) test in a single-factor or multi-factor setting

Abstract

grstest implements the grs test proposed in Gibbons, M.R., Ross, S.A. & Shanken, J., 1989. A test of the efficiency of a given portfolio. Econometrica, 57(5), 1121-1152. grstest can implement this in a single or a multifactor setting automatically depending on the number of factors supplied to it.Gibbons, Ross, Shanken, portfolio return, factor model