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Posted 10-17-2021 04:18 PM
(2016 views)

Hello everyone,

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!

7 REPLIES 7

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My quick search for GRS test in SAS turns up nothing. Have you tried using internet search tools for this?

--

Paige Miller

Paige Miller

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Yes, I already did.

On Google I could find some websites and tutorials guiding how to apply the GRS-test in R, Stata or Python, but unfortunately nothing regarding SAS.

Thank you!

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GRS stands for Gibbons Ross Shanken. The GRS test is a statistical test of the hypothesis that αi = 0 ∀i.

It is a test that some linear combination of the factor portfolios is on the minimum variance boundary.

It is used by FF to test whether the expected values of all intercept estimates are zero.

It is a test that some linear combination of the factor portfolios is on the minimum variance boundary.

It is used by FF to test whether the expected values of all intercept estimates are zero.

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I don't see that listed here in FAStats but you might this link useful.

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It is now in the Forecasting forum, isn't it? Thank you for you help @Ksharp!

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Hello,

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.

Regards,

Koen

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