Access Statistics for Charles R. Nelson

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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 43 1 1 11 153
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 0 1 13 636
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 32 1 2 6 125
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 2 2 14 1,048
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 1 2 10 246
Business cycle detrending of macroeconomic data via a latent business cycle index 0 0 0 151 0 0 0 442
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 0 0 15 0 3 12 119
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 1 3 226 1 10 25 935
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 11 0 0 6 149
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 109 1 4 14 558
Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? 0 0 0 0 0 0 2 218
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 0 1 8 1,072
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 3 5 25 255
GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987 0 0 0 0 0 0 0 12
GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987 0 0 0 0 0 0 2 211
Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP 0 0 0 16 3 5 7 109
Improved Inference for the Instrumental Variable Estimator 0 0 0 18 2 4 7 107
Improved Inference for the Instrumental Variable Estimator 0 0 0 40 1 2 8 182
Improved Inference for the Instrumental Variable Estimator 0 0 0 183 1 2 7 724
Improved Inference for the Instrumental Variables Estimator 0 0 0 101 0 1 8 375
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 1 1 272 2 4 11 720
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 72 0 1 9 229
Is There a Structural Break in the Equity Premium? 0 0 0 103 1 1 5 239
Is There a Structural Break in the Equity Premium? 0 0 0 17 0 0 5 66
Long-Term Behavior of Yield Curves 0 0 1 229 0 0 6 528
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 2 2 9 94
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 4 5 16 832
Markov regime switching and unit root tests 0 0 1 245 0 1 9 612
Markov regime-switching and unit root tests 0 0 2 529 1 1 8 1,400
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 1 3 398 2 3 16 1,060
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
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 0 2 6 82
Nelson_Plosser 2 6 33 532 3 20 124 1,324
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 0 4 38
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 0 4 241
Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills 0 0 1 287 3 3 10 764
Pitfalls in the use of Time as an Explanatory Variable in Regression 0 0 5 284 3 3 13 1,341
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 1 1 3 257
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 0 7 169
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 0 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 0 91 0 2 10 397
Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified 0 0 0 120 1 1 7 164
Spurious Periodicity in Inappropriately Detrended Time Series 0 0 3 14 3 7 29 396
Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root 0 0 0 144 1 2 6 450
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 0 48 1 1 5 403
State-Space Modeling of the Relationship Between Air Quality and Mortality 1 1 2 22 1 1 4 61
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 1 5 19 217
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 1 3 13 442
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 1 1 9 142
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 1 1 7 1,036
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 1 1 8 258
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 1 1 4 52
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 1 0 3 10 1,109
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 0 0 3 12 133
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 5 357
The Beveridge-Nelson Decomposition in Retrospect and Prospect 0 0 0 44 2 2 3 101
The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One 0 0 0 93 2 5 16 458
The Great Depression and Output Persistence 0 0 0 8 1 1 4 53
The Great Depression and Output Persistence 0 0 0 70 1 1 3 232
The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis 0 1 1 180 1 2 9 530
The Uncertain Trend in U.S. GDP 0 0 1 651 0 1 7 6,350
The Uncertain Trend in U.S. GDP 0 0 0 0 0 1 1 1,265
The Uncertain Trend in U.S. GDP 0 0 0 17 1 3 4 136
The Uncertain Trend in U.S. GDP 0 0 0 0 0 2 6 80
The Uncertain Trend in U.S. GDP 0 0 2 244 1 3 9 1,175
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 1 1 3 74
The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models 0 0 0 15 1 2 5 50
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 2 161 0 0 14 670
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 1 150 0 1 9 455
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 1 60 1 1 13 139
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 1 69 0 1 10 150
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 0 34 1 1 1 119
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 0 181 0 0 5 540
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 1 3 4 107
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 1 5 122
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 1 2 168 0 3 9 1,079
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 1 2 6 334
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 1 2 7 492
Valid Confidence Regions and Inference in the Presence of Weak Instruments 1 1 1 62 1 1 2 434
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 0 2 2 7 81
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 1 53 1 1 5 114
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 3 50
Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework 0 0 3 38 0 0 12 161
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 1 78 1 2 7 264
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 0 22 0 2 7 129
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 3 50 0 2 11 128
Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? 0 0 3 326 0 3 13 711
Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different? 0 0 0 0 1 5 13 157
Total Working Papers 4 13 83 8,436 74 182 864 42,085


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 0 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 0 1 2 98 2 5 16 306
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 0 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' 9 20 61 1,726 17 43 154 3,253
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 0 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 2 3 17 555 3 11 58 1,198
Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model" 0 0 0 1 0 4 7 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 1 7 614
Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance? 0 0 0 9 0 0 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 0 10 243 1 3 31 504
Expectation horizon and the Phillips Curve: the solution to an empirical puzzle 0 0 4 219 1 3 18 741
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 1 0 0 20 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 3 13 63 712 13 59 212 2,089
Hypothesis testing based on goodness-of-fit in the moving average time series model 0 0 2 50 1 2 10 265
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 1 1 1 207 2 3 8 759
Inflation and Rates of Return on Common Stocks 0 3 15 376 2 11 39 1,036
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 0 0 2 8 431
Long-Term Behavior of Yield Curves 1 2 5 43 1 2 9 132
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 4 197 3 9 33 723
New measures of the output gap based on the forward-looking new Keynesian Phillips curve 0 1 14 208 2 4 22 490
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 18 76 318 5,231 46 191 792 10,553
Pitfalls in the Use of Time as an Explanatory Variable in Regression 0 0 0 0 2 2 17 302
Predictable Stock Returns: The Role of Small Sample Bias 2 6 18 401 6 12 50 853
Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? 0 0 0 8 1 2 5 32
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 0 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 6 477 0 4 17 1,539
Sleep and psychological well-being 0 0 3 18 0 5 19 77
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 1 1 109 1 2 8 500
Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified 0 0 0 55 1 1 6 219
Spurious Periodicity in Inappropriately Detrended Time Series 1 2 6 239 1 4 19 736
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 7 98 4 7 29 273
The Beveridge-Nelson decomposition in retrospect and prospect 1 1 6 152 1 3 38 550
The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One 3 10 22 355 4 27 70 1,029
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 3 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 1 1 13 537
The NERC Fan in Retrospect and Lessons for the Future 0 0 0 32 0 1 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 2 6 12 348 4 17 55 1,031
The Stochastic Structure of the Velocity of Money 0 0 3 70 0 1 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 2 2 7 758
The first-order moving average process: Identification, estimation and prediction 0 1 3 156 4 7 17 513
The stochastic properties of velocity and the quantity theory of money 0 0 1 40 0 0 2 124
The uncertain trend in U.S. GDP 0 1 3 72 0 2 11 344
The zero-information-limit condition and spurious inference in weakly identified models 0 0 0 60 1 2 7 155
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 1 1 2 13 1 1 9 46
Trends and random walks in macroeconmic time series: Some evidence and implications 13 48 176 3,126 23 116 463 7,244
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 2 10 349
Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? 0 9 27 401 0 16 72 900
Why are stock returns and volatility negatively correlated? 0 1 3 131 0 2 10 344
Total Journal Articles 57 212 821 16,849 151 603 2,499 46,399


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 49 148 652 8,943
Total Books 0 0 0 0 49 148 652 8,943


Statistics updated 2020-09-04