| GRS.T {GRS.test} | R Documentation |
Sample Size Selection for the GRS test
Description
Given the desired level of Type I and II error probabilities, the function returns the sample size required.
Usage
GRS.T(N, K, theta, ratio, alpha, beta, Tmax = 10000)
Arguments
N |
the number of portfolio returns |
K |
the number of risk factors |
theta |
maximum Sharpe ratio of the K factor portfolios |
ratio |
theta/thetas, proportion of the potential efficiency |
alpha |
the desried level of significance, or Type I error probability |
beta |
the desried level of Type II error probability |
Tmax |
the maximum number of sample size, default is 10000 |
Details
the desired level of power = 1 - beta
Value
Required.T |
required sample size |
Critical.value |
the corresponding critical value |
Note
Critical.value is from the F-distribution with df1=N and df2=Required.T-N-K degrees of freedom, at the alpha level of significance.
Author(s)
Jae H. Kim
References
Gibbons, Ross, Shanken, 1989. A test of the efficiency of a given portfolio, Econometrica, 57,1121-1152. <DOI:10.2307/1913625>
See Also
Kim and Shamsuddin, 2017, Empirical Validity of Asset-pricing Models: Application of Optimal Significance Level and Equal Probability Test
Examples
GRS.T(N=25,K=3,theta=0.25,ratio=0.4,alpha=0.05, beta=0.05, Tmax=5000)