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,

Does anyone have the Fortran code (on any other code) for that? It looks as if most people use Bliss' Fortran program.

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.

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