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 0 108 0 1 1 425
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 32 0 0 1 129
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models 0 0 0 340 0 0 1 648
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 1 385 0 1 2 1,078
A Reappraisal of Recent Tests of the Permanent Income Hypothesis 1 1 1 55 1 2 2 265
A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data 0 0 0 111 1 1 2 256
Business cycle detrending of macroeconomic data via a latent business cycle index 0 0 1 152 0 0 3 450
Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index 0 0 0 34 0 0 1 94
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 1 17 0 0 1 147
Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices? 0 0 0 227 0 1 2 944
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 1 565
Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? 0 0 0 0 0 0 2 224
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 1 1 2 283
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 0 1 1 7 1,098
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 1 2 189
Improved Inference for the Instrumental Variable Estimator 0 0 0 183 0 0 2 736
Improved Inference for the Instrumental Variable Estimator 0 0 0 19 0 1 3 115
Improved Inference for the Instrumental Variables Estimator 0 0 0 104 0 0 2 393
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 274 0 0 1 734
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 74 0 0 1 240
Is There a Structural Break in the Equity Premium? 0 0 0 17 0 0 1 71
Is There a Structural Break in the Equity Premium? 0 0 1 105 0 0 2 246
Long-Term Behavior of Yield Curves 0 0 0 241 0 1 3 558
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 0 1 5 854
MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE 0 0 0 0 0 3 6 107
Markov regime switching and unit root tests 0 0 0 247 0 0 1 627
Markov regime-switching and unit root tests 0 0 1 534 0 0 3 1,431
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 1 1 4 405 2 2 5 1,086
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 0 0 1 296
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong 0 0 0 0 0 0 0 90
Nelson_Plosser 1 2 10 606 3 5 22 1,543
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 0 1 42
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION? 0 0 0 0 0 1 2 250
Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills 0 0 0 292 0 0 9 788
Pitfalls in the use of Time as an Explanatory Variable in Regression 0 0 1 289 0 1 3 1,367
Predictable Stock Returns: Reality or Statistical Illusion? 0 0 1 115 0 0 4 298
Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? 0 0 0 132 0 1 3 287
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 0 4 186
SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR 0 0 0 0 0 0 3 241
SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES 0 0 2 5 0 0 3 20
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 0 2 94 1 1 4 447
Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified 0 1 1 121 0 1 2 170
Spurious Periodicity in Inappropriately Detrended Time Series 0 0 1 23 0 0 3 439
Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root 0 0 0 144 0 0 1 467
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 1 23 0 0 2 64
State-Space Modeling of the Relationship Between Air Quality and Mortality 0 0 0 48 0 0 1 406
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 0 0 0 473
THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE 0 0 0 0 0 0 0 241
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET 0 0 0 0 0 0 2 1,054
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 1 1 269
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 59
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 1 0 0 0 1,116
Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization 0 0 0 0 0 0 1 149
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 0 0 1 362
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization 0 0 0 0 0 1 1 107
The Beveridge-Nelson Decomposition in Retrospect and Prospect 0 0 0 48 0 0 0 116
The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One 0 0 0 102 0 0 1 489
The Great Depression and Output Persistence 0 0 0 70 0 0 0 239
The Great Depression and Output Persistence 0 0 0 8 0 0 1 55
The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis 0 0 0 182 0 0 0 537
The Uncertain Trend in U.S. GDP 0 0 0 0 0 1 1 94
The Uncertain Trend in U.S. GDP 0 1 1 19 1 2 3 151
The Uncertain Trend in U.S. GDP 0 0 0 657 0 0 1 6,369
The Uncertain Trend in U.S. GDP 0 1 2 247 0 1 4 1,194
The Uncertain Trend in U.S. GDP 0 0 0 0 0 1 1 1,276
The Zero-Information-Limit Condition and Spurious Inference 0 0 0 0 0 1 2 127
The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models 0 0 0 16 0 0 2 79
The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models 0 0 0 15 0 2 2 52
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 0 162 0 0 1 688
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations 0 0 1 151 1 1 3 464
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 2 72 0 1 3 163
Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve 0 0 0 63 0 0 2 154
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 1 132
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 339
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 170 0 0 1 1,096
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 496
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 111
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 87
Valid Confidence Regions and Inference in the Presence of Weak Instruments 0 0 0 63 0 0 0 441
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 1 54
Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components 0 0 1 54 0 0 1 121
Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework 0 0 0 40 0 1 3 174
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 2 58 0 0 7 154
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 1 82 0 1 3 279
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? 0 0 2 26 0 0 2 150
Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? 0 1 4 338 0 1 8 745
Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different? 0 0 0 0 1 1 5 192
Total Working Papers 3 8 45 8,665 13 43 199 43,593


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 5 670
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 1 4 113 1 3 12 360
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 1 146
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle' 2 6 38 2,011 8 19 102 3,975
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon 0 0 1 6 0 0 2 34
Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply 0 0 0 2 0 0 0 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 2 253
Book reviews 0 0 0 0 0 0 1 20
Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching 0 2 13 667 1 4 28 1,425
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 1 1 3 629
Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance? 0 0 0 11 0 0 1 73
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 1 46
Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates 0 0 0 25 1 1 1 139
Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data 1 3 5 285 1 3 12 587
Expectation horizon and the Phillips Curve: the solution to an empirical puzzle 0 0 1 224 0 0 1 767
Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components 0 0 0 1 1 5 10 1,082
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 1 22 0 0 3 88
Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle 0 3 13 856 1 7 27 2,555
Hypothesis testing based on goodness-of-fit in the moving average time series model 0 1 1 52 0 1 1 274
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 1 216 0 0 2 787
Inflation and Rates of Return on Common Stocks 0 1 2 424 0 1 8 1,160
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? 0 0 0 0 0 1 2 453
Long-Term Behavior of Yield Curves 0 2 4 79 0 3 9 222
Macroeconomic time-series, business cycles, and macroeconomic policies A comment 0 0 0 7 0 0 1 27
Markov Regime Switching and Unit-Root Tests 0 0 0 0 0 0 1 474
Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 0 0 1 216 0 0 6 786
New measures of the output gap based on the forward-looking new Keynesian Phillips curve 2 2 2 234 3 4 10 554
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 28 60 262 6,605 58 133 558 13,754
Pitfalls in the Use of Time as an Explanatory Variable in Regression 0 0 0 0 0 0 5 350
Predictable Stock Returns: The Role of Small Sample Bias 0 2 7 455 0 4 14 979
Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? 0 0 0 12 0 0 0 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 1 23 0 0 3 82
Recursive Structure in U.S. Income, Prices, and Output 0 0 0 14 0 0 1 80
Recursive structure in U.S. income, prices and output 0 0 0 0 0 0 1 31
Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant 1 3 11 522 1 5 17 1,649
Sleep and psychological well-being 0 0 0 27 0 0 5 149
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator 0 0 1 127 0 1 3 539
Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified 0 0 2 58 0 0 4 229
Spurious Periodicity in Inappropriately Detrended Time Series 0 0 2 270 0 0 5 831
Spurious trend and cycle in the state space decomposition of a time series with a unit root 0 0 0 20 0 1 2 67
Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework 0 0 0 8 0 0 1 43
Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 0 0 0 39 0 0 3 131
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 1 4 17 152 1 4 31 382
The Beveridge-Nelson decomposition in retrospect and prospect 0 0 3 177 1 1 5 636
The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One 1 4 11 434 2 6 21 1,186
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 1 94
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 0 546
The NERC Fan in Retrospect and Lessons for the Future 0 1 8 8 1 3 17 17
The NERC Fan in Retrospect and Lessons for the Future 0 2 14 50 1 3 24 188
The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts 0 0 0 0 0 0 4 152
The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy 1 2 6 389 2 7 16 1,173
The Stochastic Structure of the Velocity of Money 0 0 2 74 0 0 3 244
The Structural Break in the Equity Premium 0 0 1 28 0 0 3 95
The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis 0 0 0 0 0 1 1 770
The first-order moving average process: Identification, estimation and prediction 0 0 0 166 0 0 1 544
The stochastic properties of velocity and the quantity theory of money 0 0 1 43 0 0 3 133
The uncertain trend in U.S. GDP 0 1 3 92 0 1 6 381
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 2 25 0 2 7 94
Trends and random walks in macroeconmic time series: Some evidence and implications 2 4 20 3,517 6 12 79 8,374
Valid Confidence Intervals and Inference in the Presence of Weak Instruments 0 0 0 0 0 0 0 366
Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? 0 2 14 483 2 5 29 1,109
Why are stock returns and volatility negatively correlated? 0 0 1 147 1 4 10 408
Total Journal Articles 39 106 476 19,910 95 250 1,135 54,502


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 8 22 101 10,935
Total Books 0 0 0 0 8 22 101 10,935


Statistics updated 2025-06-06