Campbell and Shiller JPE 1987
Posted: Fri Aug 27, 2010 4:19 am
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!
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!