Mean-Variance Spanning Tests
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Documentation for package ‘spantest’ version 1.1-3
Help Pages
| span_bj | Britten–Jones Tangency-Portfolio Spanning Test (1999) |
| span_f1 | F1 Alpha-Spanning Test (Intercepts Only) |
| span_f2 | F2 Variance-Spanning Test (Slopes Only) |
| span_gl_a | Gungor–Luger Alpha-Only Spanning Test (2016) |
| span_gl_ad | Gungor–Luger Joint Mean–Variance Spanning Test (2016) |
| span_grs | Gibbons–Ross–Shanken (GRS) Alpha Spanning Test (1989) |
| span_hk | Huberman–Kandel Joint Mean–Variance Spanning Test (1987) |
| span_km | Kempf–Memmel GMVP Spanning Test |
| span_py | Pesaran–Yamagata Alpha Spanning Test (2024) |