st: How to do a GRS F-test in Stata

[Jared DeLisle <rjd1867@fsu.edu>]

I've been searching around trying to find how to program a Gibbons, 
Ross, & Shanken (Econometrica 1989) F-test on the alphas (intercepts) 
from a set of regressions, and have found nothing.  So either my 
searching skills are lacking (very possible) or this procedure is a 
closely guarded secret (in Stata, at least).  Can anyone point me in the 
right direction?

Thanks,
Jared
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/