Hello,
I need help on how to compute the Gibbons, Ross and Shanken test in stata.
The goal of my research is to measure the relative performance of asset pricing models
First I conduct a times series test, to obtain the beta's for the pricing factors where i need at least 60 observations
asreg monthlyexcessportfolioreturn mktrf smb hml, window(year_month 60) min(60)
From this regression i get beta's, and i want to use these beta's for the GRS test.
Can someone provide the code for such a GRS test, i do not want to use plugins like grstest2 grsftest or grstest.
I hope someone can help me!
Thanks in advance, Gijs
I need help on how to compute the Gibbons, Ross and Shanken test in stata.
The goal of my research is to measure the relative performance of asset pricing models
First I conduct a times series test, to obtain the beta's for the pricing factors where i need at least 60 observations
asreg monthlyexcessportfolioreturn mktrf smb hml, window(year_month 60) min(60)
From this regression i get beta's, and i want to use these beta's for the GRS test.
Can someone provide the code for such a GRS test, i do not want to use plugins like grstest2 grsftest or grstest.
I hope someone can help me!
Thanks in advance, Gijs
