Access Statistics for Charles R. Nelson

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 108 0 0 4 419
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 340 1 1 13 636
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 43 0 0 11 152
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 32 1 1 5 124
A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds 0 0 0 0 0 0 3 66
A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market 0 0 1 379 0 0 12 1,046
A Reappraisal of Recent Tests of the Permanent Income Hypothesis 0 0 0 53 0 1 2 253
A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data 0 0 2 110 0 1 9 245
Business cycle detrending of macroeconomic data via a latent business cycle index 0 0 0 151 0 0 1 442
Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index 0 0 1 34 0 0 2 88
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 3 3 226 0 17 24 934
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 15 0 5 12 119
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 11 0 2 6 149
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 109 0 5 13 557
Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? 0 0 0 0 0 1 2 218
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 0 2 9 1,072
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 0 4 24 252
GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987 0 0 0 0 0 0 2 211
GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987 0 0 0 0 0 0 0 12
Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP 0 0 0 16 1 2 4 106
Improved Inference for the Instrumental Variable Estimator 0 0 0 183 1 1 6 723
Improved Inference for the Instrumental Variable Estimator 0 0 0 40 1 1 7 181
Improved Inference for the Instrumental Variable Estimator 0 0 0 18 1 2 5 105
Improved Inference for the Instrumental Variables Estimator 0 0 0 101 1 1 8 375
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 72 1 2 11 229
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 1 1 1 272 1 2 10 718
Is There a Structural Break in the Equity Premium? 0 0 0 103 0 0 4 238
Is There a Structural Break in the Equity Premium? 0 0 0 17 0 1 5 66
Long-Term Behavior of Yield Curves 0 1 1 229 0 2 7 528
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 0 0 7 92
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 0 4 12 828
Markov regime switching and unit root tests 0 0 1 245 0 1 9 612
Markov regime-switching and unit root tests 0 0 3 529 0 0 10 1,399
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 1 3 398 0 1 14 1,058
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 2 3 7 82
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 0 0 4 291
Nelson_Plosser 3 5 31 530 8 36 124 1,321
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 0 5 241
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 0 6 38
Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills 0 0 1 287 0 1 7 761
Pitfalls in the use of Time as an Explanatory Variable in Regression 0 0 5 284 0 1 10 1,338
Predictable Stock Returns: Reality or Statistical Illusion? 0 0 0 112 0 0 2 286
Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? 0 0 0 128 0 0 2 256
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 1 8 169
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 1 9 227
SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES 0 0 0 0 0 0 0 0
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 0 1 91 2 3 11 397
Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified 0 0 0 120 0 0 7 163
Spurious Periodicity in Inappropriately Detrended Time Series 0 1 3 14 0 8 29 393
Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root 0 0 0 144 0 2 5 449
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 1 1 21 0 2 4 60
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 0 48 0 0 4 402
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 0 2 13 441
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 1 6 20 216
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 0 0 6 1,035
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 0 2 8 141
THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS 0 0 0 1 0 0 3 51
THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS 0 0 0 1 0 0 7 257
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 1 1 3 11 1,109
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 0 1 3 13 133
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 0 0 3 104
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 0 0 6 357
The Beveridge-Nelson Decomposition in Retrospect and Prospect 0 0 0 44 0 0 2 99
The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One 0 0 0 93 1 4 14 456
The Great Depression and Output Persistence 0 0 0 70 0 0 2 231
The Great Depression and Output Persistence 0 0 0 8 0 0 3 52
The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis 0 1 1 180 0 1 8 529
The Uncertain Trend in U.S. GDP 0 0 0 17 1 2 3 135
The Uncertain Trend in U.S. GDP 0 0 1 651 1 1 7 6,350
The Uncertain Trend in U.S. GDP 0 0 0 0 1 3 6 80
The Uncertain Trend in U.S. GDP 0 0 0 0 1 1 1 1,265
The Uncertain Trend in U.S. GDP 0 0 2 244 1 2 8 1,174
The Zero-Information-Limit Condition and Spurious Inference 0 0 0 0 0 0 4 122
The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models 0 0 0 16 0 0 2 73
The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models 0 0 0 15 0 1 4 49
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 1 1 150 0 2 11 455
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 2 2 161 0 2 14 670
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 1 69 0 1 10 150
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 1 60 0 2 15 138
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 0 34 0 0 1 118
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 0 181 0 0 8 540
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 1 1 5 333
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 1 1 2 168 3 4 10 1,079
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 1 1 6 122
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 2 2 3 106
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 1 2 6 491
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 61 0 0 1 433
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 0 0 1 5 79
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 1 53 0 0 5 113
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 1 27 0 0 4 50
Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework 0 0 4 38 0 0 14 161
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 1 78 0 1 7 263
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 3 50 1 2 12 128
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 0 22 0 3 8 129
Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? 0 0 3 326 2 4 13 711
Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different? 0 0 0 0 2 4 13 156
Total Working Papers 5 18 82 8,432 43 181 842 42,011


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models 0 0 0 88 1 2 8 655
A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment 0 0 0 26 0 0 1 120
A Markov model of heteroskedasticity, risk, and learning in the stock market 1 1 2 98 2 3 15 304
A Reappraisal of Recent Tests of the Permanent Income Hypothesis [Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence] 0 0 0 44 0 1 2 135
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle' 5 22 55 1,717 11 43 147 3,236
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon 0 0 0 5 0 0 1 31
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply 0 0 0 2 0 0 1 25
Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon 0 0 0 0 0 1 1 18
BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX 0 0 0 62 0 1 9 248
Book reviews 0 0 0 0 0 0 1 17
Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching 0 3 16 553 2 10 56 1,195
Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model" 0 0 0 1 2 5 8 40
Discussion of the Zellner and Schwert papers 0 0 0 5 0 0 2 20
Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? 0 0 0 97 0 3 7 614
Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance? 0 0 0 9 0 1 2 60
Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) 0 0 0 1 0 0 1 12
Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) 0 0 0 4 0 1 3 45
Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates 0 0 0 24 0 0 4 134
Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data 0 2 11 243 1 4 33 503
Expectation horizon and the Phillips Curve: the solution to an empirical puzzle 0 0 4 219 0 4 20 740
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 1 0 6 21 1,021
Gains in efficiency from joint estimation of systems of autoregressive-moving average processes 0 0 0 9 0 0 0 27
Granger Causality and the Natural Rate Hypothesis 0 0 0 21 0 0 2 73
Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle 5 16 66 709 25 69 221 2,076
Hypothesis testing based on goodness-of-fit in the moving average time series model 0 0 2 50 0 1 9 264
Implict Estimates of the Natural and Cyclical Components of Japan's Real GNP 0 0 0 0 0 0 1 8
Inflation and Capital Budgeting 0 0 0 206 0 2 6 757
Inflation and Rates of Return on Common Stocks 1 3 18 376 2 11 41 1,034
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 0 1 3 8 431
Long-Term Behavior of Yield Curves 1 2 4 42 1 2 9 131
Macroeconomic time-series, business cycles, and macroeconomic policies A comment 0 0 0 6 0 0 0 24
Markov Regime Switching and Unit-Root Tests 0 0 0 0 0 0 2 463
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 2 6 197 1 7 32 720
New measures of the output gap based on the forward-looking new Keynesian Phillips curve 0 4 14 208 1 5 20 488
Output fluctuations in the United States: what has changed since the early 1980s? comments 0 0 1 43 0 2 6 259
Parsimonious Modeling of Yield Curves 26 94 328 5,213 67 239 807 10,507
Pitfalls in the Use of Time as an Explanatory Variable in Regression 0 0 0 0 0 1 15 300
Predictable Stock Returns: The Role of Small Sample Bias 1 8 17 399 1 24 47 847
Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? 0 0 0 8 0 1 4 31
Rational Expectations and the Estimation of Econometric Models 0 0 0 17 0 0 0 48
Rational Expectations and the Predictive Efficiency of Economic Models 0 0 0 21 0 0 2 69
Recursive Structure in U.S. Income, Prices, and Output 0 0 2 14 0 0 6 71
Recursive structure in U.S. income, prices and output 0 0 0 0 1 2 4 30
Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant 0 1 7 477 1 6 20 1,539
Sleep and psychological well-being 0 1 3 18 2 8 20 77
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 1 1 2 109 1 2 10 499
Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified 0 0 0 55 0 0 5 218
Spurious Periodicity in Inappropriately Detrended Time Series 1 1 5 238 1 3 20 735
Spurious trend and cycle in the state space decomposition of a time series with a unit root 0 0 2 18 0 0 4 53
Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework 0 0 0 8 0 0 1 38
Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 0 0 0 37 0 0 4 123
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 0 1 8 98 0 4 27 269
The Beveridge-Nelson decomposition in retrospect and prospect 0 1 5 151 2 8 37 549
The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One 6 8 19 352 14 26 68 1,025
The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors 0 1 1 33 0 1 4 89
The Great Depression and Output Persistence 0 0 0 0 0 0 4 213
The Great Depression and Output Persistence: A Reply to Papell and Prodan 0 0 0 0 0 0 1 76
The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations 0 0 0 1 0 3 12 536
The NERC Fan in Retrospect and Lessons for the Future 0 0 0 32 1 2 5 149
The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts 0 0 0 0 0 2 6 139
The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy 1 4 13 346 6 16 61 1,027
The Stochastic Structure of the Velocity of Money 0 0 3 70 0 2 9 229
The Structural Break in the Equity Premium 0 0 0 26 0 0 5 88
The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis 0 0 0 0 0 0 6 756
The first-order moving average process: Identification, estimation and prediction 0 1 3 156 0 3 13 509
The stochastic properties of velocity and the quantity theory of money 0 0 1 40 0 0 3 124
The uncertain trend in U.S. GDP 0 1 3 72 1 2 11 344
The zero-information-limit condition and spurious inference in weakly identified models 0 0 0 60 0 1 8 154
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 1 12 0 1 8 45
Trends and random walks in macroeconmic time series: Some evidence and implications 18 54 171 3,113 48 139 468 7,221
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 2 5 11 349
Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? 4 10 27 401 8 19 74 900
Why are stock returns and volatility negatively correlated? 1 1 3 131 1 2 10 344
Total Journal Articles 72 243 823 16,792 207 709 2,520 46,248


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications 0 0 0 0 49 153 687 8,894
Total Books 0 0 0 0 49 153 687 8,894


Statistics updated 2020-08-05