spantest is an R package providing a comprehensive suite of portfolio spanning tests for asset pricing.
In particular, it implements classical tests by Huberman and Kandel (1987),
Gibbons, Ross, and Shanken (1989), Kempf and Memmel (2006),
Pesaran and Yamagata (2024), and Gungor and Luger (2016),
alongside the recent residual-based subseries spanning tests developed by Ardia and Sessinou (2025).
spantest is useful for researchers and practitioners aiming to test portfolio spanning hypotheses accounting for complex dependence structures.
Please cite the package in publications!
By using spantest you agree to the following rules:
- You must cite the package as Ardia and Seguin (2025). "spantest: Mean-Variance Spanning Tests in R", R package.
- You assume all risk for the use of
spantest.
Other references
Ardia, D., & Sessinou, M. (2025).
Robust Inference in Large Panels and Markowitz Portfolios.
Working paper.
Britten-Jones, M. (1999).
The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights.
Journal of Finance, 54(2), 655-671.
Gibbons, M. R., Ross, S. A., & Shanken, J. (1989).
A test of the efficiency of a given portfolio.
Econometrica, 57(5), 1121-1152.
Gungor, S., & Luger, R. (2016).
Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances.
Journal of Business & Economic Statistics, 34(2), 161-175.
Huberman, G., & Kandel, S. (1987).
Mean-variance spanning.
Journal of Finance, 42(4), 873-888.
Kan, R., & Zhou, G. (2012).
Tests of Mean-Variance Spanning.
Annals of Economics and Finance, 13(1), 145-193.
Kempf, A., & Memmel, C. (2006).
Estimating the Global Minimum Variance Portfolio.
Schmalenbach Business Review, 58, 332-348.
Pesaran, M. H., & Yamagata, T. (2024).
Testing for alpha in linear factor pricing models with a large number of securities..
Journal of Financial Econometrics, 22(2), 407-460.
You can install the development version of spantest from GitHub:
# install.packages("devtools") # if needed
devtools::install_github("ArdiaD/spantest")