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!
Campbell and Shiller JPE 1987
Re: Campbell and Shiller JPE 1987
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.