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 ... View more