GRS Test with Newey-West t-statistics

[Bader Alhashel]

I am currently using the grstest2 command which performs the GRS test for asset pricing models. The command's documentation does not mention the use or allow for the ability to estimate Newey-West standard errors. Is there a way to do that? Should I change the ado file to run the newey command instead of the reg command?

Thanks for your assistance.

[Cliff Zhu]

In original paper (GRS,1989), they assume the errors are independent across periods and jointly normally distributed within each period. If you don't feel comfortable with this, maybe use a standard Chi2 test on the intercepts.

BTW, there's a new package "grsftest" doing GRS test. It does not adjust for the degrees of freedom when calculating estimator of the sample covariance matrix of the factor portfolios. This approach avoids a common misrepresentation of the GRS paper.

ssc install grsftest

[Francois Durant]

So, what type of standard errors does the package output? are they Newey-West? White? OLS? Please help. Thanks!

[Francois Durant]

I have checked the grsftest package. The type of standard errors does not seem to be mentioned either. Does anyone know? Thanks