spantest

MaRDI QIDQ7383409CRANFDO

Authors David Ardia, Benjamin Seguin

Last update 9 September 2025

Copyright license GNU General Public License, version 3.0

Software version identifier 1.1-3

Description

Provides a comprehensive suite of portfolio spanning tests for asset pricing, such as Huberman and Kandel (1987) <doi:10.1111/j.1540-6261.1987.tb03917.x>, Gibbons et al. (1989) <doi:10.2307/1913625>, Kempf and Memmel (2006) <doi:10.1007/BF03396737>, Pesaran and Yamagata (2024) <doi:10.1093/jjfinec/nbad002>, and Gungor and Luger (2016) <doi:10.1080/07350015.2015.1019510>.

Cites work

• A Test of the Efficiency of a Given Portfolio
• Estimating the Global Minimum Variance Portfolio
• Mean‐Variance Spanning
• Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances
• Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

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