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

Computational resources for test proposed by Gibbons, Ross, Shanken (1989)<DOI:10.2307/1913625>.

Author
Jae H. Kim
Date of publication
2016-09-15 16:16:51
Maintainer
Jae H. Kim <J.Kim@latrobe.edu.au>
License
GPL-2
Version
1.0

View on CRAN

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
\Sexpr[results=rd,stage=build]{tools:::Rd_package_title("GRS.test")}

Files in this package

GRS.test
GRS.test/NAMESPACE
GRS.test/data
GRS.test/data/data.rda
GRS.test/R
GRS.test/R/GRS.MLtest.R
GRS.test/R/GRS.Powerfunc.R
GRS.test/R/GRS.test.R
GRS.test/R/GRS.Power.R
GRS.test/R/GRS.optimal.R
GRS.test/MD5
GRS.test/build
GRS.test/build/partial.rdb
GRS.test/DESCRIPTION
GRS.test/man
GRS.test/man/GRS.Power.Rd
GRS.test/man/GRS.optimal.Rd
GRS.test/man/GRS.MLtest.Rd
GRS.test/man/GRS.Powerfunc.Rd
GRS.test/man/GRS.test-package.Rd
GRS.test/man/GRS.test.Rd
GRS.test/man/data.Rd