GRSTEST2 and GRSFTEST with Newey-West Standard Errors?

[Francois Durant]

Hi,

I have tried to run the following ssc install packages: GRSTEST2 and GRSFTEST. I would like to run them with Newey-West standard errors. Is that possible? Thanks.

[Asim Alshaikhmubarek]

I don't think you need that because nothing will change!
The value of the intercept doesn't change if you use Newey-west SE. The SE and T-value are the only things that changed in newey-west which are not used to calculate the GRS F-test!