grstest output into excel

[Pascal Strebel]

Hello everybody,

Do you know how I can extract the results from a GRS-test into a table?

My current code looks as follows:

* GRS CAPM
grstest er*, flist(rm) ret(r)
grstest2 er*, flist(rm) alphas

*GRS 3-factor model
grstest er*, flist(rm SMB HML) ret(r)
grstest2 er*, flist(rm SMB HML) alphas

*GRS 4-factor model
grstest er*, flist(rm SMB HML UMD) ret(r)
grstest2 er*, flist(rm SMB HML UMD) alphas

*GRS 5-factor model
grstest er*, flist(rm SMB HML CMA RMW) ret(r)
grstest2 er*, flist(rm SMB HML CMA RMW) alphas

*GRS 6-factor model
grstest er*, flist(rm SMB HML CMA RMW UMD) ret(r)
grstest2 er*, flist(rm SMB HML CMA RMW UMD) alphas
clear

I would like to extract the GRS-test statistic (from the code grstest) and the average absolut value of intercept (from the code grstest2).

Thanks in advance!

Pascal

[Attaullah Shah]

You can use asdoc to export it to Word or asdocx (to Excel etc). Here is an example

ssc install asdoc

sysuse auto
grstest2 price mpg rep78 headroom trunk , flist( turn ) alphas
asdoc wmat, mat(R) replace

with asdocx https://fintechprofessor.com/asdocx/

asdocx wmat, mat(R) replace save(grs.xlsx)

[Pascal Strebel]

Thank you very much - the asdoc code worked.

[Attaullah Shah]

One additional feature of asdoc, that I have not yet documented it, is to use customized decimal points for each column. So for the p-value column, that is column 4, you may use four decimal places with option c4_dec(4) along with the tzok option. tzok is used to report trailing zeros.

asdoc wmat, mat(R) replace c4_dec(4) tzok

Acknowledgement:
Prof Eric Melse ericmelse supported the addition of this feature to asdoc.

[Pascal Strebel]

Thanks again. I assume the results from

grstest er*, flist(rm) ret(r)

cannot be extracted into a table since the output is given as a sentence.

Therefore, my question: Is there another code, which returns the same GRS test results? I tried to use grstest2 and grsftest but the results are different.

Thank you very much for your help.