GRS.test: GRS Test for Portfolio Efficiency and Its Statistical Power Analysis
Version 1.0

Computational resources for test proposed by Gibbons, Ross, Shanken (1989).

Browse man pages Browse package API and functions Browse package files

AuthorJae H. Kim
Date of publication2016-09-15 16:16:51
MaintainerJae H. Kim <J.Kim@latrobe.edu.au>
LicenseGPL-2
Version1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("GRS.test")

Man pages

data: Fama-French Data: 25 size-B/M portfolio and risk factors,...
GRS.MLtest: GRS Test Statistic and p-value based on Maximum Likelihood...
GRS.optimal: Optimal Level of Significance for the GRS test
GRS.Power: Statistical Power of the GRS test
GRS.Powerfunc: Power functions for the GRS test
GRS.test: GRS test and Model Estimation Results
GRS.test-package: GRS Test for Portfolio Efficiency and Its Statistical Power...

Functions

GRS.MLtest Man page Source code
GRS.Power Man page Source code
GRS.Powerfunc Man page Source code
GRS.optimal Man page Source code
GRS.test Man page Source code
GRS.test-package Man page
data Man page

Files

NAMESPACE
data
data/data.rda
R
R/GRS.MLtest.R
R/GRS.Powerfunc.R
R/GRS.test.R
R/GRS.Power.R
R/GRS.optimal.R
MD5
build
build/partial.rdb
DESCRIPTION
man
man/GRS.Power.Rd
man/GRS.optimal.Rd
man/GRS.MLtest.Rd
man/GRS.Powerfunc.Rd
man/GRS.test-package.Rd
man/GRS.test.Rd
man/data.Rd
GRS.test documentation built on May 19, 2017, 9:37 a.m.