The following Matlab project contains the source code and Matlab examples used for grs test statistic.
This function calculates the F-Statistic and the corresponding p-Value of the GRS-Test proposed by Gibbons/Ross/Shanken (1989), p.
The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.
Project Files:
| File Name | Size |
|---|---|
| fGRS.m | 1400 |
| license.txt | 1310 |
