What is the GRS test?

What is the GRS test?

The Gibbons, Ross, and Shanken (1989, GRS) test of mean-variance efficiency of asset returns is the gold standard of empirical asset pricing, used by virtually every paper in the literature exploring empirical asset pricing models.

HOW IS F-test calculated?

The F Value is calculated using the formula F = (SSE1 – SSE2 / m) / SSE2 / n-k, where SSE = residual sum of squares, m = number of restrictions and k = number of independent variables. Find the F Statistic (the critical value for this test).

How do you test the significance of joint Regressors?

The manual way to calculate joint significance is to run an “unrestricted regression” – one which includes all the variables of interest – and then run a “restricted” regression – one where variables with small t scores are dropped.

How do you run descriptive statistics in EViews?

You may provide parameters for the distribution, or EViews will estimate the parameters for you. To carry out the test, simply double click on the series and select View/Descriptive Statistics & Tests/Empirical Distribution Tests… from the series window.

How do you do Fama in Macbeth regression?

The parameters are estimated in two steps:

1. First regress each of n asset returns against m proposed risk factors to determine each asset’s beta exposures.
2. Then regress all asset returns for each of T time periods against the previously estimated betas to determine the risk premium for each factor.

What is a good F-test value?

An F statistic of at least 3.95 is needed to reject the null hypothesis at an alpha level of 0.1. At this level, you stand a 1% chance of being wrong (Archdeacon, 1994, p. 168). For more details on how to do this, see: F Test.

How do I report F-test results?

The key points are as follows:

1. Set in parentheses.
2. Uppercase for F.
3. Lowercase for p.
4. Italics for F and p.
5. F-statistic rounded to three (maybe four) significant digits.
6. F-statistic followed by a comma, then a space.
7. Space on both sides of equal sign and both sides of less than sign.

What is a good significance F value?

Significance F: Smaller is better…. We can see that the Significance F is very small in our example. We usually establish a significance level and use it as the cutoff point in evaluating the model. Commonly used significance levels are 1%, 5%, or 10%.

How do you Analyse descriptive data?

Steps to do descriptive analysis:

1. Step 1: Draw out your objectives.
2. Step 2: Collect your data.
3. Step 3: Clean your data.
4. Step 4: Data analysis.
5. Step 5: Interpret the results.
6. Step 6: Communicating Results.

What is Ardl technique?

The ARDL cointegration technique is used in determining the long run relationship between series with different order of integration (Pesaran and Shin, 1999, and Pesaran et al. 2001). The reparameterized result gives the short-run dynamics and long run relationship of the considered variables.

What are the Fama French 5 factors?

Application of the Fama French 5 factor model The empirical tests of the Fama French models aim to explain average returns on portfolios formed to produce large spreads in Size, B/M, profitability and investment. Firstly, the model is applied to portfolios formed on size, B/M, profitability and investment.

What is Shanken correction?

The Shanken Correction Shanken (1992) suggested a correction to the standard errors of the estimates.

How do you interpret F ratio?

The larger the F-statistic, the greater the variation between sample means relative to the variation within the samples. Thus, the larger the F-statistic, the greater the evidence that there is a difference between the group means.

How do I add coefficient restrictions to my EViews?

EViews will display a dialog prompting you to specify the coefficient restrictions and test size, and to select display options. The first part of the dialog is identical to that found in the Wald test view—here, you will enter your coefficient restrictions into the edit box, with multiple restrictions separated by commas.

How do I display the confidence intervals in EViews?

By unchecking the Arrange in pairscheckbox you can choose to display the confidence intervals concentrically. The Confidence Ellipseview plots the joint confidence region of any two functions of estimated parameters from an EViews estimation object. Along with the ellipses, you can choose to display the individual confidence intervals.

How does EViews interpret expressions with no equal sign?

This description of the restrictions takes advantage of the fact that EViews interprets any expression without an explicit equal sign as being equal to zero (so that “C(1)” and “C(1)=0” are equivalent). You may, of course, enter an explicit restriction involving an equal sign (for example, “C(1)+C(2) = C(3)/2”).