The RATS Software Forum

Hi

I am wondering if there are people who have tried coding up the following paper:

Fama, E., Bliss, R., 1987. "The information in long-maturity forward rates". American Economic Review 77, 680–692
Kind Regards,

This is a full running example of the base model that should work with version 7. It should be a simple modification to switch the data sets. You might have to change the guess values for mu , but everything else should go through the same as with this. Dear Tom Could you please show me how you est...

That would indicate that you have a compatible set of instruments. The model is fit using the "optimal" weighting on the instruments, which sets those linear combinations of conditions to zero, but to get a .72 significance level, the remaining linear combinations are close to zero as wel...

Hi all

Can anyone explain me the J-statistic when using GMM model. For example. I am running GMM

instruments x1 x2 x3 x4
Linreg(inst, optimalweights) y
# constant x1

The significant level of J is, for example, 0.72 is good or not?

Thank you very much

Thank you very much Tom The paper I am following is Chinn et al (2004) "Monetary Policy and Long-Horizon Uncovered Interest Parity" IMF staff papers, Vol 51, No3. In page 414 he said that " we used the GMM estimator of Hansen (1982) to correct the standard errors of the paprameter est...

I am following Chinn et al(2004) to reestimate UIP condition. However, Chinn uses GMM estimator of Hansen(1982) to correct standard errors of the parameter estimates for MA serial correlation. Could anyone help me to write the code of UIP model using GMM estimator of Hansen(1982) Thank you and best ...

Hi
can anyone explain me how to estimate zero coupon interest rate

Thank you

Hi
I am running Uncovered interest rate parity (UIP) regression. The model is said to be faced ovelapping obeservation. Could anybody explain me the problem of overlapping observation and how to eliminate this in the model

Thank you very much