GRS Test Statistic

Version 1.0.0.0 (1.37 KB) by Sven Thies
Calculates F-Statistic and corresponding p-Value of the GRS-Test
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Updated 17 Mar 2014

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This function calculates the F-Statistic and the corresponding p-Value of the GRS-Test proposed by Gibbons/Ross/Shanken (1989), p. 1146. That is to test the H_0-hypothesis: alpha_0 = alpha_1 = ... = alpha_N = 0. Where alpha is the intercept of a Time Series Regression in a Time Series Test after Black, Jensen, and Scholes (1972) and Fama and French (1993), e.g. done in Artmann/Finter/Kempf/Koch/Theissen (2012).

Cite As

Sven Thies (2025). GRS Test Statistic (https://www.mathworks.com/matlabcentral/fileexchange/45898-grs-test-statistic), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0