Charles R. Nelson
Personal Details
First Name: Charles
Middle Name: R.
Last Name: Nelson
Suffix:
RePEc Short-ID: pne247
Email: [This author has chosen not to make the email address public]
Homepage:
http://faculty.washington.edu/cnelson/
Postal Address:
Phone:
Affiliation
- Department of Economics
University of Washington - Location: Seattle, Washington (United States)
Homepage: http://www.econ.washington.edu/
Email:
Phone:
Fax:
Postal: Box 353330, Seattle, WA 98193-3330
Handle: RePEc:edi:deuwaus (more details at EDIRC)
Works
Working papers
- Ma, Jun & Nelson, Charles R., 2010.
"Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components,"
Economics Series
256, Institute for Advanced Studies.
- Jun Ma & Charles R. Nelson, 2008. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Working Papers UWEC-2008-06-R, University of Washington, Department of Economics, revised Sep 2008.
- Chang-Jin Kim & Yunmi Kim & Charles R. Nelson, 2008. "Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?," Working Papers UWEC-2007-29, University of Washington, Department of Economics.
- Charles Nelson & Richard Startz, 2007.
"The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models,"
Working Papers
UWEC-2006-07-P, University of Washington, Department of Economics.
- Nelson, Charles R. & Startz, Richard, 2007. "The zero-information-limit condition and spurious inference in weakly identified models," Journal of Econometrics, Elsevier, vol. 138(1), pages 47-62, May.
- Charles Nelson & Richard Startz, 2004. "The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models," Working Papers UWEC-2004-03-FC, University of Washington, Department of Economics.
- Jun Ma & Charles Nelson & Richard Startz, 2007.
"Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified,"
Working Papers
UWEC-2006-14-P, University of Washington, Department of Economics, revised Mar 2007.
- Ma Jun & Nelson Charles R & Startz Richard, 2007. "Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(1), pages 1-27, March.
- Charles R. Nelson, 2006.
"The Beveridge-Nelson Decomposition in Retrospect and Prospect,"
Working Papers
UWEC-2007-30, University of Washington, Department of Economics.
- Nelson, Charles R., 2008. "The Beveridge-Nelson decomposition in retrospect and prospect," Journal of Econometrics, Elsevier, vol. 146(2), pages 202-206, October.
- Michael Dueker & Charles Nelson, 2006.
"Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index,"
Working Papers
UWEC-2006-13-P, University of Washington, Department of Economics.
- Dueker, Michael & Nelson, Charles R., 2006. "Business-Cycle Filtering Of Macroeconomic Data Via A Latent Business-Cycle Index," Macroeconomic Dynamics, Cambridge University Press, vol. 10(05), pages 573-594, November.
- Jun Ma & Charles Nelson, 2006. "A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds," Working Papers UWEC-2006-22, University of Washington, Department of Economics.
- Chang-jin Kim & N. Kundan Kishor & Charles R Nelson, 2006. "A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data," Working Papers UWEC-2007-32, University of Washington, Department of Economics.
- Taheripour, Farzad & Khanna, Madhu & Nelson, Charles, 2005. "Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework," 2005 Annual meeting, July 24-27, Providence, RI 19317, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Charles R. Nelson & Jinho Bae, 2004.
"Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?,"
Econometric Society 2004 Far Eastern Meetings
452, Econometric Society.
- Bae, Jinho & Nelson, Charles R., 2007. "Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 690-707, December.
- Richard Startz & Charles R. Nelson, 2004. "The Zero-Information-Limit Condition and Spurious Inference," Econometric Society 2004 North American Winter Meetings 106, Econometric Society.
- Chang-Jin Kim & Charles Nelson & Jeremy M. Piger, 2003.
"The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations,"
Working Papers
2001-016, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004. "The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 80-93, January.
- Chang-Jin Kim & Charles Nelson & Jeremy Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
- Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis.
- Charles R. Nelson & Jeremy Piger & Eric Zivot, 2000.
"Markov regime-switching and unit root tests,"
International Finance Discussion Papers
683, Board of Governors of the Federal Reserve System (U.S.).
- Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 404-15, October.
- Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
- Christian J. Murray & Charles Nelson, 2000.
"The Great Depression and Output Persistence,"
Working Papers
0010, University of Washington, Department of Economics.
- Murray, Christian J & Nelson, Charles R, 2002. "The Great Depression and Output Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(4), pages 1090-98, November.
- Christian J. Murray & Charles Nelson, 2000. "The Great Depression and Output Persistence," Discussion Papers in Economics at the University of Washington 0010, Department of Economics at the University of Washington.
- Christian J. Murray & Charles Nelson, 2000.
"State-Space Modeling of the Relationship Between Air Quality and Mortality,"
Working Papers
0017, University of Washington, Department of Economics.
- Christian J. Murray & Charles Nelson, 2000. "State-Space Modeling of the Relationship Between Air Quality and Mortality," Discussion Papers in Economics at the University of Washington 0017, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000.
"Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?,"
Working Papers
0023, University of Washington, Department of Economics.
- Kim, Chang-Jin & Morley, James C & Nelson, Charles R, 2004. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 339-60, June.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Discussion Papers in Economics at the University of Washington 0023, Department of Economics at the University of Washington.
- Charles Nelson & Eric Zivot, 2000.
"Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?,"
Econometric Society World Congress 2000 Contributed Papers
0692, Econometric Society.
- James Morley & Charles Nelson & Eric Zivot, 2002. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers UWEC-2002-01, University of Washington, Department of Economics.
- James C. Morley & Charles Nelson & Eric Zivot, 2000. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Discussion Papers in Economics at the University of Washington 0013, Department of Economics at the University of Washington.
- James Morley & Charles Nelson & Eric Zivot, 2003. "Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?," Working Papers UWEC-2002-18-P, University of Washington, Department of Economics.
- James C. Morley & Charles Nelson & Eric Zivot, 2000. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers 0013, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000.
"Is There a Structural Break in the Equity Premium?,"
Discussion Papers in Economics at the University of Washington
0024, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Working Papers 0024, University of Washington, Department of Economics.
- Charles Nelson & Richard Startz & Eric Zivot, 2000.
"Improved Inference for the Instrumental Variables Estimator,"
Econometric Society World Congress 2000 Contributed Papers
1600, Econometric Society.
- Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Econometrics 9905001, EconWPA.
- Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Working Papers 0039, University of Washington, Department of Economics.
- Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Discussion Papers in Economics at the University of Washington 0039, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles Nelson, 1999.
"A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models,"
Working Papers
0035, University of Washington, Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R, 2001. "A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0059, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0059, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999.
"Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?,"
Discussion Papers in Economics at the University of Washington
0028, Department of Economics at the University of Washington.
- Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0028, University of Washington, Department of Economics.
- Charles Nelson & Jeremy Piger & Eric Zivot, 1999.
"Unit Root Tests in the Presence of Markov Regime-Switching,"
Discussion Papers in Economics at the University of Washington
0040, Department of Economics at the University of Washington.
- Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
- Kim, C-J & Nelson, C-R, 1997.
"Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization,"
Discussion Papers in Economics at the University of Washington
97-07, Department of Economics at the University of Washington.
- Kim, C-J & Nelson, C-R, 1997. "Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization," Working Papers 97-07, University of Washington, Department of Economics.
- Kim, C-J & Nelson, C-R, 1997.
"Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components,"
Working Papers
97-06, University of Washington, Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R, 1999. "Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 317-34, August.
- Kim, C-J & Nelson, C-R, 1997. "Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components," Discussion Papers in Economics at the University of Washington 97-06, Department of Economics at the University of Washington.
- Nelson, C-R & Murray, C-J, 1997.
"The Uncertain Trend in U.S. GDP,"
Working Papers
97-05, University of Washington, Department of Economics.
- Murray, Christian J. & Nelson, Charles R., 2000. "The uncertain trend in U.S. GDP," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 97-05, Department of Economics at the University of Washington.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics.
- Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA.
- Nelson, C.R. & Startz, R. & Zivot, E., 1996.
"Valid Confidence Intervals and Inference in the Presence of Weak Instruments,"
Discussion Papers in Economics at the University of Washington
96-15, Department of Economics at the University of Washington.
- Zivot, Eric & Startz, Richard & Nelson, Charles R, 1998. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1119-46, November.
- Nelson, C.R. & Startz, R. & Zivot, E., 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Working Papers 96-15, University of Washington, Department of Economics.
- Zivot, E & Startz, R & Nelson, C-R, 1997. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Working Papers 97-17, University of Washington, Department of Economics.
- Zivot, E & Startz, R & Nelson, C-R, 1997. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Discussion Papers in Economics at the University of Washington 97-17, Department of Economics at the University of Washington.
- Charles R. Nelson & Richard Startz & Eric Zivot, 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Econometrics 9612002, EconWPA.
- Eric Zivot & Charles R. Nelson & Richard Startz, 1996.
"Valid Confidence Regions and Inference in the Presence of Weak Instruments,"
Working Papers
_002, University of Washington, Department of Economics.
- Eric Zivot & Charles R. Nelson & Richard Startz, 1996. "Valid Confidence Regions and Inference in the Presence of Weak Instruments," Working Papers _002, University of Washington, Department of Economics.
- Kim, C.J. & Nelson, C.R. & Startz, R., 1996.
"Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization,"
Discussion Papers in Economics at the University of Washington
96-11, Department of Economics at the University of Washington.
- Kim, C.J. & Nelson, C.R. & Startz, R., 1996. "Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization," Working Papers 96-11, University of Washington, Department of Economics.
- Nelson, C.R. & Startz, R., 1990.
"More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong,"
Working Papers
90-29, University of Washington, Department of Economics.
- Nelson, C.R. & Startz, R., 1990. "More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong," Discussion Papers in Economics at the University of Washington 90-29, Department of Economics at the University of Washington.
- Nelson, C.R. & Kim, M.J., 1990.
"Predictable Stock Returns: Reality Or Statistical Illusion?,"
Discussion Papers in Economics at the University of Washington
90-15, Department of Economics at the University of Washington.
- Nelson, C.R. & Kim, M.J., 1990. "Predictable Stock Returns: Reality Or Statistical Illusion?," Working Papers 90-15, University of Washington, Department of Economics.
- Charles R. Nelson & Myung J. Kim, 1990. "Predictable Stock Returns: Reality or Statistical Illusion?," NBER Working Papers 3297, National Bureau of Economic Research, Inc.
- Nelson, C.R., 1989.
"Grant Funding In Economics From The National Science Foundation During Fiscal Year 1987,"
Working Papers
89-10, University of Washington, Department of Economics.
- Nelson, C.R., 1989. "Grant Funding In Economics From The National Science Foundation During Fiscal Year 1987," Discussion Papers in Economics at the University of Washington 89-10, Department of Economics at the University of Washington.
- Turner, C.M. & Startz, R. & Nelson, C.R., 1989.
"The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market,"
Discussion Papers in Economics at the University of Washington
89-01, Department of Economics at the University of Washington.
- Turner, C.M. & Startz, R. & Nelson, C.R., 1989. "The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market," Working Papers 89-01, University of Washington, Department of Economics.
- Christopher M. Turner & Richard Startz & Charles R. Nelson, 1989.
"A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market,"
NBER Working Papers
2818, National Bureau of Economic Research, Inc.
- Turner, Christopher M. & Startz, Richard & Nelson, Charles R., 1989. "A Markov model of heteroskedasticity, risk, and learning in the stock market," Journal of Financial Economics, Elsevier, vol. 25(1), pages 3-22, November.
- Nelson, C. & Startz, R., 1988.
"The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One,"
Discussion Papers in Economics at the University of Washington
88-07, Department of Economics at the University of Washington.
- Nelson, Charles R & Startz, Richard, 1990. "The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One," The Journal of Business, University of Chicago Press, vol. 63(1), pages S125-40, January.
- Charles R. Nelson & Richard Startz, 1988. "The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One," NBER Technical Working Papers 0069, National Bureau of Economic Research, Inc.
- Nelson, C. & Startz, R., 1988. "The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One," Working Papers 88-07, University of Washington, Department of Economics.
- Nelson, C.R. & Kim, C-J., 1988.
"The Time-Varying-Parameter Model As An Alternative To Arch For Modeling Changing Conditional Variance: The Case Of The Lucas Hypothesis,"
Working Papers
88-10, University of Washington, Department of Economics.
- Nelson, C.R. & Kim, C-J., 1988. "The Time-Varying-Parameter Model As An Alternative To Arch For Modeling Changing Conditional Variance: The Case Of The Lucas Hypothesis," Discussion Papers in Economics at the University of Washington 88-10, Department of Economics at the University of Washington.
- Kim, M.J. & Nelson, C.R. & Startz, R., 1988.
"Mean Reversion In Stock Prices? A Reappraisal Of Empirical Evidence,"
Discussion Papers in Economics at the University of Washington
88-15, Department of Economics at the University of Washington.
- Kim, M.J. & Nelson, C.R. & Startz, R., 1988. "Mean Reversion In Stock Prices? A Reappraisal Of Empirical Evidence," Working Papers 88-15, University of Washington, Department of Economics.
- Charles R. Nelson & Chang-Jin Kim, 1988. "The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis," NBER Technical Working Papers 0070, National Bureau of Economic Research, Inc.
- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1988.
"Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence,"
NBER Working Papers
2795, National Bureau of Economic Research, Inc.
- Kim, Myung Jig & Nelson, Charles R & Startz, Richard, 1991. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 515-28, May.
- Charles R. Nelson & Richard Startz, 1988.
"Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator,"
NBER Technical Working Papers
0068, National Bureau of Economic Research, Inc.
- Nelson, Charles R & Startz, Richard, 1990. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 58(4), pages 967-76, July.
- Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Discussion Papers in Economics at the University of Washington 88-06, Department of Economics at the University of Washington.
- Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Working Papers 88-06, University of Washington, Department of Economics.
- Charles R. Nelson, 1987. "Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP," NBER Working Papers 2253, National Bureau of Economic Research, Inc.
- Charles R. Nelson, 1987.
"Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root,"
NBER Technical Working Papers
0063, National Bureau of Economic Research, Inc.
- Nelson, Charles R., 1988. "Spurious trend and cycle in the state space decomposition of a time series with a unit root," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 475-488.
- Charles R. Nelson & Andrew F. Siegel, 1986.
"Long-Term Behavior of Yield Curves,"
NBER Working Papers
1789, National Bureau of Economic Research, Inc.
- Siegel, Andrew F. & Nelson, Charles R., 1988. "Long-Term Behavior of Yield Curves," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 105-110, March.
- Charles R. Nelson, 1985. "A Reappraisal of Recent Tests of the Permanent Income Hypothesis," NBER Working Papers 1687, National Bureau of Economic Research, Inc.
- Charles R. Nelson & Andrew F. Siegel, 1985. "Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills," NBER Working Papers 1594, National Bureau of Economic Research, Inc.
- Charles R. Nelson & Heejoon Kang, 1983.
"Pitfalls in the use of Time as an Explanatory Variable in Regression,"
NBER Technical Working Papers
0030, National Bureau of Economic Research, Inc.
- Nelson, Charles R & Kang, Heejoon, 1984. "Pitfalls in the Use of Time as an Explanatory Variable in Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 73-82, January.
- Nelson, Charles R & Kang, Heejoon, 1979.
"Spurious Periodicity in Inappropriately Detrended Time Series,"
The Warwick Economics Research Paper Series (TWERPS)
161, University of Warwick, Department of Economics.
- Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-51, May.
- Nelson, Charles R. & Plosser, Charles I., . "Nelson_Plosser," Instructional Stata datasets for econometrics nelsonplosser, Boston College Department of Economics.
Articles
- Nelson, Charles R., 2008.
"The Beveridge-Nelson decomposition in retrospect and prospect,"
Journal of Econometrics,
Elsevier, vol. 146(2), pages 202-206, October.
- Charles R. Nelson, 2006. "The Beveridge-Nelson Decomposition in Retrospect and Prospect," Working Papers UWEC-2007-30, University of Washington, Department of Economics.
- Bae, Jinho & Nelson, Charles R., 2007.
"Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?,"
Journal of Macroeconomics,
Elsevier, vol. 29(4), pages 690-707, December.
- Charles R. Nelson & Jinho Bae, 2004. "Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?," Econometric Society 2004 Far Eastern Meetings 452, Econometric Society.
- Ma Jun & Nelson Charles R & Startz Richard, 2007.
"Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 11(1), pages 1-27, March.
- Jun Ma & Charles Nelson & Richard Startz, 2007. "Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified," Working Papers UWEC-2006-14-P, University of Washington, Department of Economics, revised Mar 2007.
- N. Hamilton & C. Nelson & N. Stevens & Heather Kitzman, 2007. "Sleep and psychological well-being," Social Indicators Research, Springer, vol. 82(1), pages 147-163, May.
- Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R., 2007. "Why are stock returns and volatility negatively correlated?," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 41-58, January.
- Basistha, Arabinda & Nelson, Charles R., 2007. "New measures of the output gap based on the forward-looking new Keynesian Phillips curve," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 498-511, March.
- Charles R. Nelson & Jaejoon Lee, 2007. "Expectation horizon and the Phillips Curve: the solution to an empirical puzzle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 161-178.
- Nelson, Charles R. & Startz, Richard, 2007.
"The zero-information-limit condition and spurious inference in weakly identified models,"
Journal of Econometrics,
Elsevier, vol. 138(1), pages 47-62, May.
- Charles Nelson & Richard Startz, 2004. "The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models," Working Papers UWEC-2004-03-FC, University of Washington, Department of Economics.
- Charles Nelson & Richard Startz, 2007. "The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models," Working Papers UWEC-2006-07-P, University of Washington, Department of Economics.
- Dueker, Michael & Nelson, Charles R., 2006.
"Business-Cycle Filtering Of Macroeconomic Data Via A Latent Business-Cycle Index,"
Macroeconomic Dynamics,
Cambridge University Press, vol. 10(05), pages 573-594, November.
- Michael Dueker & Charles Nelson, 2006. "Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index," Working Papers UWEC-2006-13-P, University of Washington, Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R., 2006. "Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1949-1966, November.
- Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2005. "The Structural Break in the Equity Premium," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 181-191, April.
- Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004.
"The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 22(1), pages 80-93, January.
- Chang-Jin Kim & Charles Nelson & Jeremy M. Piger, 2003. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," Working Papers 2001-016, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Charles Nelson & Jeremy Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
- Kim, Chang-Jin & Morley, James C & Nelson, Charles R, 2004.
"Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 36(3), pages 339-60, June.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Working Papers 0023, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Discussion Papers in Economics at the University of Washington 0023, Department of Economics at the University of Washington.
- Murray, Christian J & Nelson, Charles R, 2004. "The Great Depression and Output Persistence: A Reply to Papell and Prodan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 429-32, June.
- James C. Morley & Charles R. Nelson & Eric Zivot, 2003.
"Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?,"
The Review of Economics and Statistics,
MIT Press, vol. 85(2), pages 235-243, May.
- Tom Doan, . "RATS programs to replicate Morley-Nelson-Zivot state space decomposition," Statistical Software Components RTZ00115, Boston College Department of Economics.
- Murray, Christian J & Nelson, Charles R, 2002.
"The Great Depression and Output Persistence,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 34(4), pages 1090-98, November.
- Christian J. Murray & Charles Nelson, 2000. "The Great Depression and Output Persistence," Discussion Papers in Economics at the University of Washington 0010, Department of Economics at the University of Washington.
- Christian J. Murray & Charles Nelson, 2000. "The Great Depression and Output Persistence," Working Papers 0010, University of Washington, Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R, 2001.
"A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
- Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0059, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0059, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0035, University of Washington, Department of Economics.
- Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001.
"Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?,"
Journal of Empirical Finance,
Elsevier, vol. 8(4), pages 403-426, September.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0028, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington.
- Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001.
"Markov Regime Switching and Unit-Root Tests,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 19(4), pages 404-15, October.
- Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
- Charles R. Nelson & Jeremy Piger & Eric Zivot, 2000. "Markov regime-switching and unit root tests," International Finance Discussion Papers 683, Board of Governors of the Federal Reserve System (U.S.).
- Murray, Christian J. & Nelson, Charles R., 2000.
"The uncertain trend in U.S. GDP,"
Journal of Monetary Economics,
Elsevier, vol. 46(1), pages 79-95, August.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 97-05, Department of Economics at the University of Washington.
- Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Working Papers 97-05, University of Washington, Department of Economics.
- Charles R. Nelson, 2000. "Output fluctuations in the United States: what has changed since the early 1980s? comments," Proceedings, Federal Reserve Bank of San Francisco.
- Kim, Chang-Jin & Nelson, Charles R, 1999.
"Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 31(3), pages 317-34, August.
- Kim, C-J & Nelson, C-R, 1997. "Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components," Working Papers 97-06, University of Washington, Department of Economics.
- Kim, C-J & Nelson, C-R, 1997. "Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components," Discussion Papers in Economics at the University of Washington 97-06, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles R. Nelson, 1999. "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 608-616, November.
- Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
- Zivot, Eric & Startz, Richard & Nelson, Charles R, 1998.
"Valid Confidence Intervals and Inference in the Presence of Weak Instruments,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1119-46, November.
- Nelson, C.R. & Startz, R. & Zivot, E., 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Working Papers 96-15, University of Washington, Department of Economics.
- Zivot, E & Startz, R & Nelson, C-R, 1997. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Working Papers 97-17, University of Washington, Department of Economics.
- Zivot, E & Startz, R & Nelson, C-R, 1997. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Discussion Papers in Economics at the University of Washington 97-17, Department of Economics at the University of Washington.
- Nelson, C.R. & Startz, R. & Zivot, E., 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Discussion Papers in Economics at the University of Washington 96-15, Department of Economics at the University of Washington.
- Charles R. Nelson & Richard Startz & Eric Zivot, 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Econometrics 9612002, EconWPA.
- Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard, 1998. "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 131-154, June.
- Kim, Chang-Jin & Nelson, Charles R., 1998. "Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 385-396, October.
- Charles Nelson, 1998. "Book reviews," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 215-220.
- Charles R. Nelson, 1994. "Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary)," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 110-116.
- Nelson, Charles R & Kim, Myung J, 1993. " Predictable Stock Returns: The Role of Small Sample Bias," Journal of Finance, American Finance Association, vol. 48(2), pages 641-61, June.
- Kim, Myung Jig & Nelson, Charles R & Startz, Richard, 1991.
"Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence,"
Review of Economic Studies,
Wiley Blackwell, vol. 58(3), pages 515-28, May.
- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1988. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," NBER Working Papers 2795, National Bureau of Economic Research, Inc.
- Nelson, Charles R & Startz, Richard, 1990.
"The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One,"
The Journal of Business,
University of Chicago Press, vol. 63(1), pages S125-40, January.
- Nelson, C. & Startz, R., 1988. "The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One," Discussion Papers in Economics at the University of Washington 88-07, Department of Economics at the University of Washington.
- Charles R. Nelson & Richard Startz, 1988. "The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One," NBER Technical Working Papers 0069, National Bureau of Economic Research, Inc.
- Nelson, C. & Startz, R., 1988. "The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One," Working Papers 88-07, University of Washington, Department of Economics.
- Nelson, Charles R & Startz, Richard, 1990.
"Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator,"
Econometrica,
Econometric Society, vol. 58(4), pages 967-76, July.
- Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Working Papers 88-06, University of Washington, Department of Economics.
- Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Discussion Papers in Economics at the University of Washington 88-06, Department of Economics at the University of Washington.
- Charles R. Nelson & Richard Startz, 1988. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," NBER Technical Working Papers 0068, National Bureau of Economic Research, Inc.
- Charles R. Nelson & Stephen C. Peck & Robert G. Uhler, 1989. "The NERC Fan in Retrospect and Lessons for the Future," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 91-107.
- Turner, Christopher M. & Startz, Richard & Nelson, Charles R., 1989.
"A Markov model of heteroskedasticity, risk, and learning in the stock market,"
Journal of Financial Economics,
Elsevier, vol. 25(1), pages 3-22, November.
- Christopher M. Turner & Richard Startz & Charles R. Nelson, 1989. "A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market," NBER Working Papers 2818, National Bureau of Economic Research, Inc.
- Kim, Chang-Jin & Nelson, Charles R, 1989. "The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 433-40, October.
- Siegel, Andrew F. & Nelson, Charles R., 1988.
"Long-Term Behavior of Yield Curves,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 23(01), pages 105-110, March.
- Charles R. Nelson & Andrew F. Siegel, 1986. "Long-Term Behavior of Yield Curves," NBER Working Papers 1789, National Bureau of Economic Research, Inc.
- Nelson, Charles R., 1988.
"Spurious trend and cycle in the state space decomposition of a time series with a unit root,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 12(2-3), pages 475-488.
- Charles R. Nelson, 1987. "Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root," NBER Technical Working Papers 0063, National Bureau of Economic Research, Inc.
- Nelson, Charles R, 1987. "A Reappraisal of Recent Tests of the Permanent Income Hypothesis [Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence]," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 641-46, June.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
- Nelson, Charles R & Peck, Stephen C, 1985. "The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 179-87, June.
- Nelson, Charles R., 1985. "Macroeconomic time-series, business cycles, and macroeconomic policies A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 55-59, January.
- Nelson, Charles R & Kang, Heejoon, 1984.
"Pitfalls in the Use of Time as an Explanatory Variable in Regression,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 2(1), pages 73-82, January.
- Charles R. Nelson & Heejoon Kang, 1983. "Pitfalls in the use of Time as an Explanatory Variable in Regression," NBER Technical Working Papers 0030, National Bureau of Economic Research, Inc.
- Nelson, Charles R, 1982. "Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(4), pages 877-80, November.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Nelson, Charles R, 1981. "Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(4), pages 494-96, November.
- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
- Nelson, Charles R & Kang, Heejoon, 1981.
"Spurious Periodicity in Inappropriately Detrended Time Series,"
Econometrica,
Econometric Society, vol. 49(3), pages 741-51, May.
- Nelson, Charles R & Kang, Heejoon, 1979. "Spurious Periodicity in Inappropriately Detrended Time Series," The Warwick Economics Research Paper Series (TWERPS) 161, University of Warwick, Department of Economics.
- Nelson, Charles R, 1981. "Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(1), pages 1-11, February.
- Nelson, Charles R., 1979. "Discussion of the Zellner and Schwert papers," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 97-102, January.
- Nelson, Charles R, 1979. "Granger Causality and the Natural Rate Hypothesis," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 390-94, April.
- Nelson, Charles R., 1979. "Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon," Proceedings, Federal Reserve Bank of San Francisco, issue 3, pages 4-22.
- Nelson, Charles R. & Shea, Gary S., 1979. "Hypothesis testing based on goodness-of-fit in the moving average time series model," Journal of Econometrics, Elsevier, vol. 10(2), pages 221-226, June.
- Gould, J. P. & Miller, M. H. & Nelson, C. R. & Upton, C. W., 1978. "The stochastic properties of velocity and the quantity theory of money," Journal of Monetary Economics, Elsevier, vol. 4(2), pages 229-248, April.
- Nelson, Charles R & Schwert, G William, 1977. "Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant," American Economic Review, American Economic Association, vol. 67(3), pages 478-86, June.
- Nelson, Charles R., 1976. "Gains in efficiency from joint estimation of systems of autoregressive-moving average processes," Journal of Econometrics, Elsevier, vol. 4(4), pages 331-348, November.
- Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-83, May.
- Nelson, Charles R, 1976. "Inflation and Capital Budgeting," Journal of Finance, American Finance Association, vol. 31(3), pages 923-31, June.
- Nelson, Charles R., 1976.
"Recursive structure in U.S. income, prices and output,"
Proceedings,
Federal Reserve Bank of San Francisco, issue 1, pages 2-32.
- Nelson, Charles R, 1979. "Recursive Structure in U.S. Income, Prices, and Output," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1307-27, December.
- Nelson, Charles R, 1975. "Rational Expectations and the Estimation of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 555-61, October.
- Nelson, Charles R, 1975. "Rational Expectations and the Predictive Efficiency of Economic Models," The Journal of Business, University of Chicago Press, vol. 48(3), pages 331-43, July.
- Cooper, J Phillip & Nelson, Charles R, 1975. "The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 7(1), pages 1-32, February.
- Gould, John P & Nelson, Charles R, 1974. "The Stochastic Structure of the Velocity of Money," American Economic Review, American Economic Association, vol. 64(3), pages 405-18, June.
- Nelson, Charles R., 1974. "The first-order moving average process : Identification, estimation and prediction," Journal of Econometrics, Elsevier, vol. 2(2), pages 121-141, July.
- Nelson, Charles R, 1972. "Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 40(2), pages 277-87, March.
- Nelson, Charles R, 1972. "Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework," Journal of Political Economy, University of Chicago Press, vol. 80(6), pages 1259-70, Nov.-Dec..
- Nelson, Charles R, 1972. "The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy," American Economic Review, American Economic Association, vol. 62(5), pages 902-17, December.
- Nelson, Charles R, 1970. "A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment," Journal of Political Economy, University of Chicago Press, vol. 78(4), pages 764-67, Part I Ju.
Books
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
NEP Fields
17 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):- NEP-BEC: Business Economics (1) 2007-12-08
- NEP-CFN: Corporate Finance (1) 2001-04-11
- NEP-DGE: Dynamic General Equilibrium (2) 1998-10-02 2002-12-09
- NEP-ECM: Econometrics (8) 1999-06-23 2000-10-31 2001-04-11 2001-09-10 2007-05-12 2007-12-08 2008-11-25 2010-10-09. Author is listed
- NEP-ENV: Environmental Economics (1) 2001-04-11
- NEP-ETS: Econometric Time Series (11) 1998-10-02 2000-10-31 2001-04-11 2001-04-11 2001-04-11 2001-09-10 2001-09-10 2002-12-09 2007-05-12 2007-12-08 2010-10-09. Author is listed
- NEP-FIN: Finance (3) 2001-04-11 2001-04-11 2001-04-11
- NEP-FMK: Financial Markets (3) 2001-04-11 2001-04-11 2001-04-11
- NEP-TID: Technology & Industrial Dynamics (1) 2001-04-11
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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Most cited item
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
Most downloaded item (past 12 months)
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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