GRS test in SAS

va003 — Thu, 20 Jun 2019 02:11:01 GMT

Hello,

Fama French (2015) mentions using the GRS test on their 5x5 portfolios. I cannot find the solution any where (in this forum or other places) to how to do this in SAS. I saw Google searches for GRS test for Stata, R, and Matlab but not for SAS I don't know why. So I attempted to try this:

Step 1:

Prepare a data with these columns, name it "have":

DATE

xret (excess return of each portfolio, stacked into 1 column)

FF factors (corresponding with the dates)

Step 2:

proc reg data=have outest=want;
model xret=mkt_rf smb hml;
GRS: test INTERCEPT=0;

run;

Basically a simple proc reg program with the "GRS: test INTERCEPT=0;" added. I read somewhere that this "test" line would provide the f test for whether the intercept is equal to zero, which is the GRS test as far as I understand. My understanding of the GRS test might be totally incorrect, and my SAS knowledge is embarrassing. Please help me! Thank you!

topic GRS test in SAS in SAS Programming

GRS test in SAS