I am doing some work on forecasting bond returns, and am looking for R implementations of a range of different models:- Cochrane & Piazzesi (Cochrane, John H. and Monika Piazzesi. 2005. "Bond Risk Premia." American Economic Review, 95(1): 138-160). Monica Piazzesi's homepage has the code available in MatLab (http://www.stanford.edu/~piazzesi/cp.zip)- Fama-Bliss unsmoothed yields (Fama, EF and RR Bliss. 1987. "The Information in Long-Maturity Forward Rates." American Economic Review, 77(4), 680-692). I am not sure if this can be done within the termstrc package, but it doesn't seem to be an explicit function- Adrian, Crump & Moench (Adrian, Tobias; Richard K Crump & Emanuel Moench. 2013. "Pricing the Term Structure with Linear Regressions." Federal Reserve Bank of New York Staff Reports.)
Is anyone on this list aware of implementations done in R and if so, would they be willing to share?
Thank you,Will Oswald