RATS programs to replicate Campbell and Ammer's JOF 1993 paper

Tom Doan (tomd@estima.com)

Statistical Software Components from Boston College Department of Economics

Abstract: Replication for Campbell and Ammer(1993), "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns", J of Finance, vol 48, pp 3-37.

Language: RATS
Requires: RATS 8.00
Keywords: VAR; variance decomposition (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/campbellammerjof1993.zip (application/zip)

Related works:
Journal Article: What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00029

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