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 0 0 0 162
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 340 0 0 1 647
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 32 0 0 0 128
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 108 0 0 0 424
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 0 68
A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market 0 0 1 384 0 0 2 1,076
A Reappraisal of Recent Tests of the Permanent Income Hypothesis 0 0 1 54 0 0 2 263
A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data 0 0 0 111 0 0 1 254
Business cycle detrending of macroeconomic data via a latent business cycle index 0 0 0 151 0 0 0 447
Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index 0 0 0 34 0 0 0 93
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 227 0 0 0 942
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 16 0 0 1 146
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 12 0 0 0 154
Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 110 0 0 0 564
Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? 0 0 0 0 0 0 1 222
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 0 1 1 281
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 0 2 3 1,090
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 0 212
Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP 0 0 0 16 0 0 0 110
Improved Inference for the Instrumental Variable Estimator 0 0 0 40 0 0 0 187
Improved Inference for the Instrumental Variable Estimator 0 0 0 19 0 0 0 112
Improved Inference for the Instrumental Variable Estimator 0 0 0 183 0 0 2 734
Improved Inference for the Instrumental Variables Estimator 0 0 1 104 0 0 4 390
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 274 0 0 1 733
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 74 0 1 1 239
Is There a Structural Break in the Equity Premium? 0 0 0 104 0 0 0 244
Is There a Structural Break in the Equity Premium? 0 0 0 17 0 0 0 70
Long-Term Behavior of Yield Curves 1 2 2 240 2 3 4 554
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 0 1 1 101
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 0 1 2 849
Markov regime switching and unit root tests 0 0 0 247 0 0 2 626
Markov regime-switching and unit root tests 0 0 1 533 0 0 6 1,428
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 0 1 401 0 0 5 1,081
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 1 1 1 89
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 1 1 1 294
Nelson_Plosser 1 2 4 595 2 4 22 1,519
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 0 0 248
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 1 1 41
Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills 1 1 3 292 2 2 5 778
Pitfalls in the use of Time as an Explanatory Variable in Regression 0 0 0 288 0 0 1 1,364
Predictable Stock Returns: Reality or Statistical Illusion? 0 0 1 114 0 0 1 294
Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? 1 2 2 132 1 2 4 284
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 0 1 181
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 2 3 238
SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES 0 0 1 3 0 0 2 17
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 0 1 92 0 2 4 442
Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified 0 0 0 120 1 1 1 168
Spurious Periodicity in Inappropriately Detrended Time Series 0 0 0 22 0 0 2 436
Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root 0 0 0 144 1 2 2 466
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 0 22 0 0 0 62
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 0 48 0 0 0 405
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 1 1 8 473
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 0 0 2 241
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 0 0 0 1,052
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 0 0 0 158
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 1 58
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 2 268
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 1 0 0 2 1,115
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 0 0 0 2 147
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 0 0 0 106
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 0 0 1 361
The Beveridge-Nelson Decomposition in Retrospect and Prospect 0 1 2 48 0 2 5 116
The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One 0 0 3 102 2 2 8 488
The Great Depression and Output Persistence 0 0 0 8 0 0 0 54
The Great Depression and Output Persistence 0 0 0 70 0 0 0 239
The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis 0 1 1 182 0 1 2 537
The Uncertain Trend in U.S. GDP 0 0 0 18 0 0 0 148
The Uncertain Trend in U.S. GDP 0 0 0 245 0 0 4 1,190
The Uncertain Trend in U.S. GDP 0 0 0 0 0 0 1 1,275
The Uncertain Trend in U.S. GDP 0 0 0 657 0 2 3 6,368
The Uncertain Trend in U.S. GDP 0 0 0 0 0 0 1 93
The Zero-Information-Limit Condition and Spurious Inference 0 0 0 0 0 0 0 125
The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models 0 0 0 16 0 0 0 77
The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models 0 0 0 15 0 0 0 50
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 0 162 0 0 5 687
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 0 150 0 0 0 461
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 1 63 0 0 2 152
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 1 70 1 1 2 160
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 0 181 0 0 0 549
Unit Root Tests in the Presence of Markov Regime-Switching 0 0 0 34 0 0 0 126
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 111
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 1 339
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 170 0 0 1 1,095
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 131
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 496
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 1 87
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 63 0 0 2 441
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 0 27 0 0 0 53
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 0 53 0 0 1 120
Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework 0 0 0 40 0 0 0 171
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 1 81 0 0 5 276
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 4 56 0 0 7 147
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 1 24 0 0 5 148
Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? 0 0 2 334 0 1 7 737
Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different? 0 0 0 0 0 1 11 187
Total Working Papers 4 9 35 8,618 15 38 183 43,382


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 0 1 665
A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment 0 0 0 26 0 0 0 122
A Markov model of heteroskedasticity, risk, and learning in the stock market 0 0 5 109 0 0 8 348
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 0 0 0 145
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle' 5 19 66 1,965 16 44 161 3,861
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon 0 0 0 5 0 0 0 32
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply 0 0 0 2 0 0 1 28
Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon 0 0 0 0 0 0 0 20
BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX 0 0 0 63 0 0 1 251
Book reviews 0 0 0 0 0 0 0 19
Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching 4 8 30 651 5 11 54 1,393
Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model" 0 0 0 1 0 0 0 42
Discussion of the Zellner and Schwert papers 0 0 0 5 0 0 0 25
Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? 0 0 0 97 0 0 2 626
Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance? 0 0 0 11 0 0 1 71
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 0 15
Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) 0 0 0 4 0 0 0 45
Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates 0 0 0 25 0 0 0 138
Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data 2 2 5 280 2 4 11 574
Expectation horizon and the Phillips Curve: the solution to an empirical puzzle 0 0 2 223 0 0 3 764
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 1 1 3 10 1,066
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 0 85
Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle 2 8 15 842 2 10 38 2,527
Hypothesis testing based on goodness-of-fit in the moving average time series model 0 0 0 51 0 0 1 273
Implict Estimates of the Natural and Cyclical Components of Japan's Real GNP 0 0 0 0 0 0 0 12
Inflation and Capital Budgeting 0 0 2 214 2 2 4 784
Inflation and Rates of Return on Common Stocks 1 2 7 421 3 4 14 1,150
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 0 0 1 6 450
Long-Term Behavior of Yield Curves 0 0 2 75 1 3 9 212
Macroeconomic time-series, business cycles, and macroeconomic policies A comment 0 0 0 7 0 0 0 26
Markov Regime Switching and Unit-Root Tests 0 0 0 0 0 0 2 473
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 3 10 215 0 4 16 780
New measures of the output gap based on the forward-looking new Keynesian Phillips curve 1 2 6 232 4 7 13 544
Output fluctuations in the United States: what has changed since the early 1980s? comments 0 0 0 43 0 0 0 265
Parsimonious Modeling of Yield Curves 36 75 366 6,307 77 184 811 13,123
Pitfalls in the Use of Time as an Explanatory Variable in Regression 0 0 0 0 1 2 6 345
Predictable Stock Returns: The Role of Small Sample Bias 1 2 10 447 1 2 17 963
Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? 0 1 1 12 0 1 2 57
Rational Expectations and the Estimation of Econometric Models 0 0 0 17 0 0 0 49
Rational Expectations and the Predictive Efficiency of Economic Models 0 0 0 22 1 2 3 79
Recursive Structure in U.S. Income, Prices, and Output 0 0 0 14 0 0 0 79
Recursive structure in U.S. income, prices and output 0 0 0 0 0 0 0 30
Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant 0 2 9 510 1 6 21 1,630
Sleep and psychological well-being 0 0 0 26 1 1 12 142
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 2 5 125 1 3 8 535
Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified 0 1 1 56 0 1 1 225
Spurious Periodicity in Inappropriately Detrended Time Series 0 0 3 267 2 2 11 825
Spurious trend and cycle in the state space decomposition of a time series with a unit root 0 0 2 20 0 0 3 65
Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework 0 0 0 8 0 0 0 42
Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 0 0 0 39 0 0 0 128
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 3 7 17 133 6 12 42 348
The Beveridge-Nelson decomposition in retrospect and prospect 0 1 2 174 0 3 17 631
The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One 2 4 18 422 3 8 38 1,163
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 0 0 0 93
The Great Depression and Output Persistence 0 0 0 0 0 0 0 213
The Great Depression and Output Persistence: A Reply to Papell and Prodan 0 0 0 0 0 0 0 78
The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations 0 0 0 1 0 0 1 546
The NERC Fan in Retrospect and Lessons for the Future 0 1 2 34 2 3 7 161
The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts 0 0 0 0 0 0 0 148
The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy 1 4 9 382 4 11 23 1,154
The Stochastic Structure of the Velocity of Money 0 0 0 72 0 0 2 241
The Structural Break in the Equity Premium 0 0 0 27 0 0 0 92
The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis 0 0 0 0 0 0 3 769
The first-order moving average process: Identification, estimation and prediction 0 0 0 166 0 0 2 543
The stochastic properties of velocity and the quantity theory of money 0 0 0 42 0 0 0 129
The uncertain trend in U.S. GDP 0 0 1 89 0 0 4 374
The zero-information-limit condition and spurious inference in weakly identified models 0 0 0 60 0 0 0 157
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 3 23 0 0 12 87
Trends and random walks in macroeconmic time series: Some evidence and implications 2 4 35 3,496 9 23 121 8,287
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 1 4 366
Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? 0 2 18 468 1 11 46 1,078
Why are stock returns and volatility negatively correlated? 0 0 1 145 0 0 5 397
Total Journal Articles 60 150 653 19,370 146 369 1,578 53,230


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 34 87 382 10,801
Total Books 0 0 0 0 34 87 382 10,801


Statistics updated 2024-05-04