GRS Test for Portfolio Efficiency, Its Statistical Power Analysis, and Optimal Significance Level Calculation
tools:::Rd_package_title("GRS.test")
GRS Test Statistic and p-value based on Maximum Likelihood Estimator f...
Optimal Level of Significance for the GRS test: Normality Assumption
Optimal Level of Significance for the GRS test: Bootstrapping
Weighted Optimal Level of Significance for the GRS test: Bootstrapping
Weighted Optimal Level of Significance for the GRS test: Normality Ass...
Statistical Power of the GRS test
Power functions for the GRS test
Sample Size Selection for the GRS test
GRS test and Model Estimation Results
Computational resources for test proposed by Gibbons, Ross, Shanken (1989)<DOI:10.2307/1913625>. It also has the functions for the power analysis and the choice of the optimal level of significance. The optimal level is determined by minimizing the expected loss from hypothesis testing.