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Authors = Ruoyao Shi

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25 pages, 441 KiB  
Article
Testing and Ranking of Asset Pricing Models Using the GRS Statistic
by Mark J. Kamstra and Ruoyao Shi
J. Risk Financial Manag. 2024, 17(4), 168; https://doi.org/10.3390/jrfm17040168 - 19 Apr 2024
Viewed by 3253
Abstract
We clear up an ambiguity in the statement of the GRS statistic by providing the correct formula of the GRS statistic and the first proof of its F-distribution in the general multiple-factor case. Casual generalization of the Sharpe-ratio-based interpretation of the single-factor GRS [...] Read more.
We clear up an ambiguity in the statement of the GRS statistic by providing the correct formula of the GRS statistic and the first proof of its F-distribution in the general multiple-factor case. Casual generalization of the Sharpe-ratio-based interpretation of the single-factor GRS statistic to the multiple-portfolio case makes experts in asset pricing studies susceptible to an incorrect formula. We illustrate the consequences of using the incorrect formulas that the ambiguity in GRS leads to—over-rejecting and misranking asset pricing models. In addition, we suggest a new approach to ranking models using the GRS statistic p-value. Full article
12 pages, 267 KiB  
Article
Synthetic Control and Inference
by Jinyong Hahn and Ruoyao Shi
Econometrics 2017, 5(4), 52; https://doi.org/10.3390/econometrics5040052 - 28 Nov 2017
Cited by 52 | Viewed by 17509
Abstract
We examine properties of permutation tests in the context of synthetic control. Permutation tests are frequently used methods of inference for synthetic control when the number of potential control units is small. We analyze the permutation tests from a repeated sampling perspective and [...] Read more.
We examine properties of permutation tests in the context of synthetic control. Permutation tests are frequently used methods of inference for synthetic control when the number of potential control units is small. We analyze the permutation tests from a repeated sampling perspective and show that the size of permutation tests may be distorted. Several alternative methods are discussed. Full article
(This article belongs to the Special Issue Recent Developments in Panel Data Methods)
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