Hello everybody,

Do you know how I can extract the results from a GRS-test into a table?

My current code looks as follows:
Code:
* GRS CAPM
grstest er*, flist(rm) ret(r)
grstest2 er*, flist(rm) alphas

*GRS 3-factor model
grstest er*, flist(rm SMB HML) ret(r)
grstest2 er*, flist(rm SMB HML) alphas

*GRS 4-factor model
grstest er*, flist(rm SMB HML UMD) ret(r)
grstest2 er*, flist(rm SMB HML UMD) alphas

*GRS 5-factor model
grstest er*, flist(rm SMB HML CMA RMW) ret(r)
grstest2 er*, flist(rm SMB HML CMA RMW) alphas

*GRS 6-factor model
grstest er*, flist(rm SMB HML CMA RMW UMD) ret(r)
grstest2 er*, flist(rm SMB HML CMA RMW UMD) alphas
clear
I would like to extract the GRS-test statistic (from the code grstest) and the average absolut value of intercept (from the code grstest2).

Thanks in advance!

Pascal