| GRS.test-package |
GRS Test for Portfolio Efficiency, Its Statistical Power Analysis, and Optimal Significance Level Calculation |
| data |
Fama-French Data: 25 size-B/M portfolio and risk factors, obtained from French's library |
| GRS.MLtest |
GRS Test Statistic and p-value based on Maximum Likelihood Estimator for Covariance matrix |
| GRS.optimal |
Optimal Level of Significance for the GRS test: Normality Assumption |
| GRS.optimalboot |
Optimal Level of Significance for the GRS test: Bootstrapping |
| GRS.optimalbootweight |
Weighted Optimal Level of Significance for the GRS test: Bootstrapping |
| GRS.optimalweight |
Weighted Optimal Level of Significance for the GRS test: Normality Assumption |
| GRS.Power |
Statistical Power of the GRS test |
| GRS.Powerfunc |
Power functions for the GRS test |
| GRS.T |
Sample Size Selection for the GRS test |
| GRS.test |
GRS test and Model Estimation Results |
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