Test statistic is 0 and p-value missing in GRS test

[Yue Luo]

When I used the grstest2 command to do GRS test, I got the following result in one of my test, the Test statistic is zero and the P-value is missing. I don't know why this will happen and how to deal with it . I hope you could me some advice, thank you.

[Cliff Zhu]

There's a new package "grsftest" doing GRS test. It does not adjust for the degrees of freedom when calculating estimator of the sample covariance matrix of the factor portfolios. This approach avoids a common misrepresentation of the GRS paper.

ssc install grsftest