Campbell-Ammer (JOF 1993)
Posted: Wed May 05, 2010 10:49 amThis is replication code for Campbell and Ammer(1993), "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns", J of Finance, vol 48, pp 3-37, through Table IV. Note that there appears to be an error in the empirical work for the paper in constructing Table IV. (The original paper was done in Gauss, so this is a complete rewrite). This is noted in the comments. The code below has this corrected.
This requires RATS v7.
Updated May 2010 to allow for lags>1 in tables III, IV and V.
This does Tables I and II.
This does Tables III and IV
This does Table V
This is the data file
This requires RATS v7.
Updated May 2010 to allow for lags>1 in tables III, IV and V.
This does Tables I and II.
table1&2.prg- (3.02 KiB) Downloaded 204 times
This does Tables III and IV
- table3&4.prg
- (7.2 KiB) Downloaded 198 times
This does Table V
- table5.prg
- (3.79 KiB) Downloaded 181 times
This is the data file
- campbell_ammer.xls
- (71 KiB) Downloaded 193 times