6533b7d8fe1ef96bd12697c2
RESEARCH PRODUCT
Finite Sample Sizes of the GRS Test in the Presence of Dynamic Correlation and Conditional Heteroskedasticity
Klaus GrobysKlaus Grobyssubject
CorrelationHeteroscedasticitySample size determinationStatisticsStatistical inferenceEconometricsSample (statistics)Wald testMathematicsTest (assessment)description
This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size distortions resulting in potentially misleading statistical inferences. The correct critical values, as reported in the study, are considerably larger than suggested by the GRS test.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2017-01-01 | SSRN Electronic Journal |