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Regress_GRStest    

简述
原假设:Alpha1=Alpha2=...=AlphaN=0
定义
Regress_GRStest(alpha:Array;eps:Array;mu:Array):Array
参数
名称类型说明
alphaArray二维数字数组,回归截距项
epsArray二维数字数组,回归残差项
muArray二维数字数组,因子暴露
返回ArrayArray,
“FGRS” GRS统计量
“pGRS” 检验p值
  • 范例

    //截距项矩阵alpha
      Alpha:=array((0.1288),(-0.0731),(0.0606),(-0.1398),(-0.2368));
      //回归残差矩阵
      eps:=array(( 0.2391, 2.8350, 0.1298, -0.1303, -0.4705),
           ( 0.3388, 0.8279, 0.8726, 1.0098, -0.1260),
           ( 1.2022, 0.7552, 0.1406, 0.9817, -0.5472),
           (-1.2390, -0.8745, -0.8203, -0.7948, -0.9886),
           (-0.1682, 0.3842, -0.1333, -0.0479, -0.5298),
           ( 0.4537, 0.2827, 0.4283, 0.5073, -0.0321),
           (-0.6363, 0.3396, -0.4626, -0.2871, -0.5787),
           ( 0.3037, -0.9632, 0.0126, -0.0788, 0.9519),
           ( 1.6618, -1.7807, 0.2230, 0.6233, 1.4380),
           (-0.2783, 0.4255, -0.3253, -0.2529, -1.0784));
      //因子暴露矩阵
      mu:=array(( 1.9006, 1.4588,-0.8829),
           ( 2.4169, 1.2151,-1.1462),
           ( 0.4599, 0.9646,-0.5166),
           ( 0.8420, 0.9289, 0.2966),
           ( 0.1703,-1.6531, 0.0567),
           ( 1.3330, 1.3360,-1.1067),
           (-0.7639,-0.5524, 0.1642),
           ( 0.4294,-0.2513, 0.2316),
           ( 2.7809, 1.2122,-0.5281),
           ( 0.5903, 1.6501,-0.5097));
      return Regress_GRStest(alpha,eps,mu);
    //array("FGRS":1.97496665,"pGRS":0.36939759)
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