I`m trying to replicate the FF-3 factor model. Unfortunately I cannot apply the GRS-test in SAS.
Anyone who could help me with the GRS-test? I didn't find any hint how to apply the GRS-test in SAS.
I´m looking forward for the help of the SAS Community.
Thank you in advance!
What SAS PROCedure are you using??
The Gibbons Ross Shanken (GRS) test is (I think) a statistical F-test for the hypothesis that all the alphas (from a set of time-series regressions) are zero.
I think that F-test is done in the procedure that you are using.
If not, it is certainly given for each individual time-series regression and you can then make your own composed / overall test.
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