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 3 3 11 436
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 1 33 1 1 10 139
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 340 2 2 6 654
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 43 1 3 5 167
A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds 0 0 0 0 1 1 5 73
A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market 0 0 0 385 2 5 16 1,094
A Reappraisal of Recent Tests of the Permanent Income Hypothesis 0 0 1 55 2 5 11 275
A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data 0 0 0 111 0 0 7 262
Business cycle detrending of macroeconomic data via a latent business cycle index 0 0 0 152 4 7 11 461
Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index 0 0 0 34 0 0 5 99
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 227 1 4 11 955
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 17 2 2 9 156
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 12 0 2 7 161
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 110 1 1 11 576
Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? 0 0 0 0 2 3 9 233
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 3 5 20 1,117
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 3 8 18 300
GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987 0 0 0 0 0 0 3 15
GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987 0 0 0 0 2 3 7 219
Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP 0 0 0 16 1 1 6 116
Improved Inference for the Instrumental Variable Estimator 0 0 0 183 1 1 11 747
Improved Inference for the Instrumental Variable Estimator 0 0 0 19 1 1 7 122
Improved Inference for the Instrumental Variable Estimator 0 0 0 40 4 6 16 205
Improved Inference for the Instrumental Variables Estimator 0 0 0 104 2 2 9 402
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 74 2 4 10 250
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 274 2 3 6 740
Is There a Structural Break in the Equity Premium? 0 0 0 17 0 1 12 83
Is There a Structural Break in the Equity Premium? 0 0 0 105 2 4 13 259
Long-Term Behavior of Yield Curves 0 0 0 241 2 4 9 567
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 4 7 13 867
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 2 6 16 123
Markov regime switching and unit root tests 0 0 0 247 0 5 12 639
Markov regime-switching and unit root tests 0 0 0 534 4 11 28 1,459
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 0 1 405 2 10 41 1,125
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 1 2 6 302
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 0 0 3 93
Nelson_Plosser 1 2 5 610 7 11 30 1,570
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 5 6 12 54
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 2 5 11 261
Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills 0 0 0 292 2 3 8 796
Pitfalls in the use of Time as an Explanatory Variable in Regression 0 0 0 289 2 5 11 1,378
Predictable Stock Returns: Reality or Statistical Illusion? 0 0 0 115 4 6 11 309
Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? 0 0 0 132 3 3 15 302
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 6 7 17 258
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 2 4 21 207
SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES 0 0 0 5 3 4 15 35
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 0 0 94 9 13 24 470
Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified 0 0 0 121 1 2 12 182
Spurious Periodicity in Inappropriately Detrended Time Series 0 0 0 23 3 5 13 452
Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root 0 0 0 144 4 6 14 481
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 0 23 1 1 6 70
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 0 48 1 4 6 412
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 8 8 17 490
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 9 10 26 267
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 1 4 20 178
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 4 4 12 1,066
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 3 7 276
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 5 64
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 1 1 1 5 1,121
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 0 0 0 5 154
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 1 2 7 369
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 1 2 6 113
The Beveridge-Nelson Decomposition in Retrospect and Prospect 0 0 1 49 2 2 7 123
The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One 0 0 1 103 5 7 20 509
The Great Depression and Output Persistence 0 0 0 70 0 4 8 247
The Great Depression and Output Persistence 0 0 0 8 0 3 14 69
The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis 0 0 0 182 1 5 13 550
The Uncertain Trend in U.S. GDP 0 0 0 19 1 2 8 158
The Uncertain Trend in U.S. GDP 0 0 0 247 0 0 7 1,201
The Uncertain Trend in U.S. GDP 0 0 0 0 1 2 18 1,294
The Uncertain Trend in U.S. GDP 0 0 0 0 1 2 28 122
The Uncertain Trend in U.S. GDP 0 0 0 657 6 8 13 6,382
The Zero-Information-Limit Condition and Spurious Inference 0 0 0 0 2 3 5 132
The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models 0 0 0 16 2 2 4 83
The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models 0 0 0 15 0 1 4 56
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 0 162 2 4 12 700
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 1 152 1 1 12 475
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 0 72 5 7 10 173
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 0 63 2 8 17 171
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 1 182 4 5 13 562
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 0 34 1 4 11 137
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 4 6 12 351
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 1 1 171 5 10 21 1,117
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 4 4 10 121
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 5 6 13 509
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 3 6 14 146
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 63 3 4 7 448
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 0 2 2 11 98
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 0 27 1 4 12 66
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 0 54 2 5 16 137
Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework 0 0 0 40 2 3 9 183
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 0 82 1 1 11 290
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 0 26 3 5 12 162
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 1 2 60 1 2 14 168
Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? 0 0 0 338 3 6 17 762
Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different? 0 0 0 0 3 4 15 206
Total Working Papers 1 4 15 8,677 220 381 1,154 44,734

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 4 12 681
A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment 0 0 0 26 1 1 4 126
A Markov model of heteroskedasticity, risk, and learning in the stock market 0 1 1 114 5 11 24 383
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 46 3 3 6 152
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle' 0 2 16 2,025 5 11 79 4,046
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon 0 0 0 6 1 1 8 42
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply 0 0 0 2 1 3 4 32
BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX 0 0 0 63 0 1 7 260
Book reviews 0 0 0 0 1 1 6 26
Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching 0 0 3 670 2 3 24 1,448
Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model" 0 0 0 1 0 0 4 46
Discussion of the Zellner and Schwert papers 0 0 0 5 1 1 3 28
Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? 0 0 0 97 1 3 23 651
Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance? 0 0 0 11 4 4 11 84
Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) 0 0 0 4 2 6 10 56
Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) 0 0 0 1 6 6 10 25
Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates 0 0 0 25 0 0 6 144
Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data 1 1 5 289 1 7 23 609
Expectation horizon and the Phillips Curve: the solution to an empirical puzzle 0 0 1 225 4 6 15 782
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 1 1 4 22 1,103
Gains in efficiency from joint estimation of systems of autoregressive-moving average processes 0 0 0 9 1 2 6 33
Granger Causality and the Natural Rate Hypothesis 0 0 0 22 1 1 4 92
Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle 0 3 4 860 1 10 17 2,571
Hypothesis testing based on goodness-of-fit in the moving average time series model 0 0 1 53 0 0 3 277
Implict Estimates of the Natural and Cyclical Components of Japan's Real GNP 0 0 0 0 0 1 6 18
Inflation and Capital Budgeting 0 1 2 218 3 6 11 798
Inflation and Rates of Return on Common Stocks 0 0 3 427 0 6 18 1,178
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 0 2 3 10 463
Long-Term Behavior of Yield Curves 0 0 2 81 1 4 13 235
Macroeconomic time-series, business cycles, and macroeconomic policies A comment 0 0 0 7 1 3 5 32
Markov Regime Switching and Unit-Root Tests 0 0 0 0 0 1 5 479
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 0 0 216 4 8 22 808
New measures of the output gap based on the forward-looking new Keynesian Phillips curve 0 0 3 235 2 3 20 571
Parsimonious Modeling of Yield Curves 8 29 171 6,748 31 84 483 14,179
Pitfalls in the Use of Time as an Explanatory Variable in Regression 0 0 0 0 2 4 14 364
Predictable Stock Returns: The Role of Small Sample Bias 0 1 4 459 3 6 20 999
Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? 0 0 0 12 1 1 9 66
Rational Expectations and the Estimation of Econometric Models 0 0 0 17 1 2 4 53
Rational Expectations and the Predictive Efficiency of Economic Models 0 0 0 23 0 2 4 86
Recursive Structure in U.S. Income, Prices, and Output 0 0 0 14 3 5 8 88
Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant 0 0 1 522 1 1 16 1,664
Sleep and psychological well-being 0 0 0 27 3 5 26 175
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 0 0 127 7 9 17 556
Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified 0 0 0 58 3 3 5 234
Spurious Periodicity in Inappropriately Detrended Time Series 0 0 0 270 3 6 17 848
Spurious trend and cycle in the state space decomposition of a time series with a unit root 0 0 0 20 7 7 18 85
Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework 0 0 0 8 2 2 6 49
Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 0 0 0 39 1 1 11 142
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 0 0 7 158 1 10 45 426
The Beveridge-Nelson decomposition in retrospect and prospect 1 2 3 180 3 8 27 662
The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One 0 1 10 443 7 12 41 1,225
The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors 0 0 0 33 3 4 11 105
The Great Depression and Output Persistence 0 0 0 0 1 3 7 220
The Great Depression and Output Persistence: A Reply to Papell and Prodan 0 0 0 0 1 2 10 88
The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations 0 0 0 1 1 5 16 562
The NERC Fan in Retrospect and Lessons for the Future 0 0 0 8 1 4 14 30
The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts 0 0 0 0 2 4 6 158
The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy 1 2 8 396 2 4 24 1,195
The Stochastic Structure of the Velocity of Money 0 1 4 78 1 5 15 259
The Structural Break in the Equity Premium 0 0 0 28 1 3 8 103
The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis 0 0 0 0 5 5 13 783
The first-order moving average process: Identification, estimation and prediction 0 0 0 166 1 2 10 554
The stochastic properties of velocity and the quantity theory of money 0 0 0 43 2 5 7 140
The uncertain trend in U.S. GDP 0 0 0 92 3 4 11 392
The zero-information-limit condition and spurious inference in weakly identified models 0 0 0 60 4 5 8 165
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 0 25 3 5 13 107
Trends and random walks in macroeconmic time series: Some evidence and implications 0 2 11 3,526 9 19 62 8,430
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 3 6 15 381
Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? 0 1 3 486 7 9 26 1,133
Why are stock returns and volatility negatively correlated? 0 0 0 147 3 3 10 417
Total Journal Articles 11 47 263 20,041 188 389 1,498 55,402
4 registered items for which data could not be found

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 14 34 111 11,038
Total Books 0 0 0 0 14 34 111 11,038

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Statistics updated 2026-05-06