unsmoothed Fama and Bliss

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atbui
Posts: 8
Joined: Sun Jan 03, 2010 11:27 pm

unsmoothed Fama and Bliss

Unread post by atbui »

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,
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: unsmoothed Fama and Bliss

Unread post by TomDoan »

Does anyone have the Fortran code (on any other code) for that? It looks as if most people use Bliss' Fortran program.
IRJ
Posts: 48
Joined: Wed Jan 10, 2007 1:15 am

Re: unsmoothed Fama and Bliss

Unread post by IRJ »

I know of codes and data for Cochrane and Piazzesi (2005) "Bond Risk Premia", American Economic Review, vol. 95, at: http://faculty.chicagobooth.edu/john.co ... sk_Premia/
The paper itself can be found at http://faculty.chicagobooth.edu/john.co ... premia.pdf
Cochrane and Piazzesi (2005) extend the results of Fama and Bliss (1987) (using the same regressions and then more elaborate ones), so I think that this would be a good substitute to replicating the original Fama and Bliss (1987) paper.
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: unsmoothed Fama and Bliss

Unread post by TomDoan »

Part of Cochrane and Piassezi is posted at http://www.estima.com/forum/viewtopic.php?f=8&t=1998
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