C. Nelson

发表

State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications

Chang‐Jin Kim, S. Frühwirth-Schnatter, C. Nelson, 1999 .

The Investor's Guide to Economic Indicators

C. Nelson, 1987 .

The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy

C. Nelson, 1972 .

Trends and random walks in macroeconmic time series: Some evidence and implications

C. Nelson, Charles R. Plosser, 1982 .

Spurious Periodicity in Inappropriately Detrended Time Series

C. Nelson, Heejoon Kang, 1981 .

Gains in efficiency from joint estimation of systems of autoregressive-moving average processes

C. Nelson, 1976 .

The Brookings Model: Perspective and Recent Developments.

C. Nelson, G. Chow, L. Klein, 1976 .

Improved Inference in Weakly Identified Instrumental Variables Regression

Eric Zivot, Richard Startz, Charles R. Nelson, 2003 .

The Uncertain Trend in U.S. GDP

Charles R. Nelson, C. Nelson, C. Murray, 2000 .

Valid Confidence Intervals and Inference in the Presence of Weak Instruments

Eric Zivot, Richard Startz, Charles R. Nelson, 1998 .

Mean Reversion in Stock Prices? a Reappraisal of the Empirical Evidence

Richard Startz, C. Nelson, R. Startz, 1988 .

Parsimonious modeling of yield curves

A. Siegel, C. Nelson, 1987 .

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’☆

C. Nelson, Steve Beveridge, 1981 .

Applied Time Series Analysis for Managerial Forecasting.

C. Nelson, F. Maxwell, 1973 .

The Distribution of the Instrumental Variables Estimator and its T-Ratiowhen the Instrument is a Poor One

C. Nelson, R. Startz, 1988 .

Predictable Stock Returns: The Role of Small Sample Bias

C. Nelson, Myung-Jig Kim, 1993 .

Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle

Chang‐Jin Kim, C. Nelson, Chang‐Jin Kim, 1999, Review of Economics and Statistics.

Inflation and Rates of Return on Common Stocks

Charles R. Nelson, C. Nelson, 1976 .

Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator

Richard Startz, C. Nelson, R. Startz, 1988 .

The Distribution of the Instrumental Variables Estimator and its T-Ratiowhen the Instrument is a Poor One

Richard Startz, Charles R. Nelson, C. Nelson, 1988 .

Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root

C. Nelson, 1987 .

Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?

Eric Zivot, Charles R. Nelson, Eric Zivot, 2003, Review of Economics and Statistics.

The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts

Stephen C. Peck, Charles R. Nelson, C. Nelson, 1985 .

BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX

Michael J. Dueker, C. Nelson, 2006, Macroeconomic Dynamics.

The Structural Break in the Equity Premium

Chang-Jin Kim, Chang‐Jin Kim, C. Nelson, 2005 .

The Less-Volatile U.S. Economy

Chang‐Jin Kim, C. Nelson, Jeremy Piger, 2004 .

The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors

Charles R. Nelson, C. Nelson, J. Cooper, 1975 .

A Test for Structural Change in Markov-Switching Models: Has the U.S. Economy Become More Stable?

Chang-Jin Kim, Charles R. Nelson, Chang‐Jin Kim, 1999 .

Granger Causality and the Natural Rate Hypothesis

C. Nelson, 1979, Journal of Political Economy.

Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices

Chang‐Jin Kim, C. Nelson, J. Morley, 2001 .

Implicit Estimates of Natural, Trend, and Cyclical Components of Real Gnp

C. Nelson, 1987 .

Mean Reversion in Stock Price

C. Nelson, R. Startz, Myung-Jig Kim, 1990 .

Long-Term Behavior of Yield Curves

A. Siegel, C. Nelson, 1988, Journal of Financial and Quantitative Analysis.

Testing for Mean Reversion in Heteroskedastic Data Ii: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization

C. Nelson, Chang‐Jin Kim, 1997 .

Output fluctuations in the United States: what has changed since the early 1980s? comments

C. Nelson, 2000 .

Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model"

C. Nelson, 1982 .

A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment

C. Nelson, 1970, Journal of Political Economy.

On testing the hypothesis that the real rate of interest is constant

C. Nelson, G. Schwert, 1977 .

INFLATION AND CAPITAL BUDGETING

C. Nelson, 1976 .

Predictable Stock Returns: Reality or Statistical Illusion?

C. Nelson, Myung-Jig Kim, 1990 .

The Less-Volatile U.S. Economy

Chang-Jin Kim, Charles R. Nelson, Jeremy M. Piger, 2001 .

TRENDS AND RANDOM WALKS IN MACROECONMIC TIME SERIES &me Evidence and hqtkations

Charles I. Plosser, C. Nelson, 2002 .

The Superiority of the LM Test in a Class of Models Where the Wald Test Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components

C. Nelson, Jun Ma, 2012 .

The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models

Richard Startz, C. Nelson, R. Startz, 2004 .

Improved Inference for the Instrumental Variable Estimator

Eric Zivot, C. Nelson, R. Startz, 1999 .

Improved Inference for the Instrumental Variable Estimator by Richard Startz

Eric Zivot, C. Nelson, E. Zivot, 1999 .

Expectation horizon and the Phillips Curve: the solution to an empirical puzzle

C. Nelson, Jaejoon Lee, 2007 .

Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model Using Ex-Post Data

C. Nelson, Chang‐Jin Kim, 2006 .

New measures of the output gap based on the forward-looking new Keynesian Phillips curve

Charles R. Nelson, C. Nelson, Arabinda Basistha, 2007 .

Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve

C. Nelson, Chang‐Jin Kim, Pym Manopimoke, 2013 .

Trend Ination and the New Keynesian Phillips Curve

C. Nelson, C. J. Kim, P. Manopimoke, 2011 .

The Beveridge–Nelson decomposition in retrospect and prospect

C. Nelson, 2008 .

Markov Regime Switching and Unit-Root Tests

Eric Zivot, C. Nelson, Jeremy Piger, 2000 .

macroeconomics an introduction / Charles R. Nelson

C. Nelson, 2011 .

The Stochastic Structure of the Velocity of Money

C. Nelson, J. P. Gould, 1974 .

The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis

Chang-Jin Kim, Charles R. Nelson, C. Nelson, 1989 .

The first-order moving average process: Identification, estimation and prediction

Charles R. Nelson, C. Nelson, 1974 .

Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

Jun Ma, Richard Startz, C. Nelson, 2006 .

Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching

Chang-Jin Kim, Charles R. Nelson, C. Nelson, 1998, Review of Economics and Statistics.

Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?

C. Nelson, Yunmi Kim, 2014 .

The Uncertain Trend in U.S. GDP

Charles R. Nelson, C. Nelson, C. Murray, 1997 .

Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components

C. Nelson, Jun Ma, 2008 .

Rational Expectations and the Estimation of Econometric Models

C. Nelson, 1975 .

Testing a Model of the Term Structure of Interest Rates by Simulation of Market Forecasts

C. Nelson, 1970 .

Macroeconomics: An Introduction

C. Nelson, 2003 .

Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?

C. Nelson, J. Morley, Chang‐Jin Kim, 2004 .

Tests for Predictive Relationships between Time Series Variables: A Monte Carlo Investigation

G. William Schwert, Charles R. Nelson, C. Nelson, 1982 .

The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models

Charles R. Nelson, C. Nelson, 1976 .

Why are stock returns and volatility negatively correlated

C. Nelson, Chang‐Jin Kim, Jinho Bae, 2007 .

Why are Stock Returns and Volatility Negatively Correlated?

C. Nelson, Chang‐Jin Kim, Jinho Bae, 2004 .

Is There a Structural Break in the Equity Premium

C. Nelson, J. Morley, Chang‐Jin Kim, 2000 .

Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?

C. Nelson, Jinho Bae, 2004 .

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization

Chang-Jin Kim, Richard Startz, Charles R. Nelson, 1998 .

Pitfalls in the Use of Time as an Explanatory Variable in Regression

Heejoon Kang, C. Nelson, Heejoon Kang, 1983 .

RISK , AND LEARNING IN THE STOCK MARKET *

C. Nelson, R. Startz, Christopher M. Turner, 2001 .

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models

Chang-Jin Kim, Charles R. Nelson, C. Nelson, 2001 .

The stochastic properties of velocity and the quantity theory of money

C. Nelson, Merton H. Miller, J. P. Gould, 1978 .

Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills

A. Siegel, C. Nelson, 1985 .

Recursive Structure in U.S. Income, Prices, and Output

C. Nelson, 1979, Journal of Political Economy.

Hypothesis testing based on goodness-of-fit in the moving average time series model

Charles R. Nelson, Gary S. Shea, C. Nelson, 1979 .

Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components

Chang-Jin Kim, C. Nelson, Charles R. Nelson, 1998 .

The Term Structure of Interest Rates.

C. Nelson, G. O. Bierwag, 1972 .

Rational Expectations and the Predictive Efficiency of Economic Models

C. Nelson, 1975 .

A Reappraisal of Recent Tests of the Permanent Income Hypothesis

C. Nelson, 1985, Journal of Political Economy.

The NERO Fan in Retrospect and Lessons for the Future

C. Nelson, S. Peck, R. G. Uhler, 1989 .

Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon

C. Nelson, 1981 .

Long-Term Behavior of Yield Curves

A. Siegel, C. Nelson, 1988, Journal of Financial and Quantitative Analysis.

Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates

C. Nelson, 1972 .

Macroeconomic time-series, business cycles, and macroeconomic policies A comment

C. Nelson, 1985 .

Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework

C. Nelson, 1972, Journal of Political Economy.