Nothing
GRS.Q0 <-
function(ret.mat,factor.mat){
ret.mat=as.matrix(ret.mat); factor.mat=as.matrix(factor.mat)
N=ncol(ret.mat); T=nrow(ret.mat); K = ncol(factor.mat)
e.mat = matrix(NA,ncol=N,nrow=T)
b.mat = matrix(NA,ncol=K,nrow=N)
dat = factor.mat
for(i in 1:N){
ri = as.matrix(ret.mat[,i,drop=F])
b = solve(t(dat) %*% dat) %*% t(dat) %*% ri;
e = ri - dat %*% b
b.mat[i,] = b
e.mat[,i] = e
}
return(list(GRS.stat=F,coef=b.mat,resid=e.mat))
}
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