Timeline for GRS statistic in R to test that intercepts from multivariate panel regression are jointly zero?
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
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| Feb 16, 2023 at 8:37 | comment | added | Richard Hardy | Update: as of 2022, there is an R package called GRS.test that implements the test. | |
| Jun 20, 2012 at 23:26 | comment | added | shabbychef | @Christoph_J eegad, you are surely right ... | |
| Jun 20, 2012 at 14:06 | comment | added | Christoph_J |
@shabbychef Could it be that Sig.hat is defined incorretly? According to this link (slide 7), it should be the residual covariance matrix, but you are taking the covariance matrix of the returns.
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| Oct 4, 2011 at 2:07 | comment | added | Ram Ahluwalia | I have not found an R package. This is very helpful... My approach was to use the binomial distribution to test the null hypothesis that all intercepts have an insignificant p-value. | |
| Oct 4, 2011 at 2:05 | vote | accept | Ram Ahluwalia | ||
| Oct 3, 2011 at 19:30 | history | edited | shabbychef | CC BY-SA 3.0 |
adding more code
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| Oct 3, 2011 at 18:41 | history | answered | shabbychef | CC BY-SA 3.0 |