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Campbell and Shiller JPE 1987

Posted: Fri Aug 27, 2010 4:19 am
by sekar2010
Has anyone developed the code for Campbell, J. Y. and Shiller, R. J. (1987), Cointegration and Tests of Present Value Models, Journal
of Political Economy, 95, pp: 1062-1088? I am a bit lost when testing the (expectations theory) restrictions and estimating the theoretical spread. Does anyone has any idea on how to modify the standard VAR code to include the restrictions. I will appreciate any hints and helps. Cheers!

Re: Campbell and Shiller JPE 1987

Posted: Fri Aug 27, 2010 11:36 am
by TomDoan
The Campbell and Ammer JOF 1993 replication has a similar but more complicated calculation using a non-linear function on the forecasts of a VAR.