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!
