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MasterStudent_A
‎10-25-2021
  • 4 Posts
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Re: GRS Test in SAS

by Fluorite | Level 6 in SAS Forecasting and Econometrics
‎10-20-2021 10:28 AM
‎10-20-2021 10:28 AM
It is now in the Forecasting forum, isn't it? Thank you for you help @Ksharp! ... View more

Re: GRS Test in SAS

by Fluorite | Level 6 in SAS Forecasting and Econometrics
‎10-18-2021 05:58 PM
‎10-18-2021 05:58 PM
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. ... View more

Re: GRS Test in SAS

by Fluorite | Level 6 in SAS Forecasting and Econometrics
‎10-17-2021 05:48 PM
‎10-17-2021 05:48 PM
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! ... View more

GRS Test in SAS

by Fluorite | Level 6 in SAS Forecasting and Econometrics
‎10-17-2021 04:18 PM
‎10-17-2021 04:18 PM
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!   ... View more
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