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Details about Charles R. Nelson

Homepage:http://faculty.washington.edu/cnelson/
Workplace:Department of Economics, University of Washington, (more information at EDIRC)

Access statistics for papers by Charles R. Nelson.

Last updated 2013-10-11. Update your information in the RePEc Author Service.

Short-id: pne247


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Working Papers

2010

  1. Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
    Economics Series, Institute for Advanced Studies Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2008) Downloads View citations (1)

2008

  1. Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?
    Working Papers, University of Washington, Department of Economics Downloads View citations (6)

2007

  1. Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified
    Working Papers, University of Washington, Department of Economics Downloads View citations (12)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2007)
  2. The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models
    Working Papers, University of Washington, Department of Economics Downloads View citations (18)
    Also in Working Papers, University of Washington, Department of Economics (2004) Downloads

    See also Journal Article in Journal of Econometrics (2007)

2006

  1. A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds
    Working Papers, University of Washington, Department of Economics
  2. A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data
    Working Papers, University of Washington, Department of Economics Downloads View citations (10)
  3. Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index
    Working Papers, University of Washington, Department of Economics Downloads View citations (6)
    See also Journal Article in Macroeconomic Dynamics (2006)
  4. The Beveridge-Nelson Decomposition in Retrospect and Prospect
    Working Papers, University of Washington, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2008)

2005

  1. 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, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Downloads View citations (3)

2004

  1. Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (1)
    See also Journal Article in Journal of Macroeconomics (2007)
  2. The Zero-Information-Limit Condition and Spurious Inference
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)

2003

  1. Business cycle detrending of macroeconomic data via a latent business cycle index
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
  2. The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (7)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2001) Downloads View citations (30)

    See also Journal Article in Journal of Business & Economic Statistics (2004)
  3. Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?
    Working Papers, University of Washington, Department of Economics View citations (103)
    Also in Working Papers, University of Washington, Department of Economics (2002) Downloads View citations (4)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (64)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) Downloads View citations (39)
    Working Papers, University of Washington, Department of Economics (2000) Downloads

    See also Journal Article in The Review of Economics and Statistics (2003)

2001

  1. Markov regime switching and unit root tests
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (31)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2000) Downloads View citations (15)

    See also Journal Article in Journal of Business & Economic Statistics (2001)

2000

  1. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
    Working Papers, University of Washington, Department of Economics Downloads View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) Downloads View citations (1)
    Working Papers, University of Washington, Department of Economics (1999) Downloads View citations (2)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2001)
  2. Improved Inference for the Instrumental Variables Estimator
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (2)
    Also in Working Papers, University of Washington, Department of Economics (1999) Downloads View citations (6)
    Econometrics, University Library of Munich, Germany (1999) Downloads View citations (8)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) Downloads View citations (9)
  3. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
    Working Papers, University of Washington, Department of Economics Downloads View citations (3)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) Downloads View citations (8)

    See also Journal Article in Journal of Money, Credit and Banking (2004)
  4. Is There a Structural Break in the Equity Premium?
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (1)
  5. State-Space Modeling of the Relationship Between Air Quality and Mortality
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington Downloads View citations (2)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (2)
  6. The Great Depression and Output Persistence
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2002)

1999

  1. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington Downloads View citations (7)
    Also in Working Papers, University of Washington, Department of Economics (1999) Downloads View citations (7)
    Working Papers, University of Washington, Department of Economics (1998) Downloads View citations (4)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) Downloads View citations (5)

    See also Journal Article in International Economic Review (2001)
  2. Unit Root Tests in the Presence of Markov Regime-Switching
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (1999) Downloads View citations (4)

1998

  1. The Uncertain Trend in U.S. GDP
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (1997)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1997)
    Computational Economics, University Library of Munich, Germany (1997) Downloads View citations (3)
    Working Papers, University of Washington, Department of Economics (1998) Downloads View citations (16)

    See also Journal Article in Journal of Monetary Economics (2000)

1997

  1. Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1997)

    See also Journal Article in Journal of Money, Credit and Banking (1999)
  2. 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, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1997)
  3. Valid Confidence Intervals and Inference in the Presence of Weak Instruments
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1996)
    Working Papers, University of Washington, Department of Economics (1997)
    Econometrics, University Library of Munich, Germany (1996) Downloads View citations (18)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1996)

    See also Journal Article in International Economic Review (1998)

1996

  1. Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1996)
  2. Valid Confidence Regions and Inference in the Presence of Weak Instruments
    Working Papers, University of Washington, Department of Economics
    Also in Working Papers, University of Washington, Department of Economics (1996) Downloads

1990

  1. 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, Department of Economics at the University of Washington View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (1990) View citations (1)
  2. PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?
    Working Papers, University of Washington, Department of Economics View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) Downloads View citations (2)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1990) View citations (2)

1989

  1. A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (176)
    Also in Working Papers, University of Washington, Department of Economics (1989) View citations (169)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1989) View citations (169)

    See also Journal Article in Journal of Financial Economics (1989)
  2. GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1989)

1988

  1. MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE
    Working Papers, University of Washington, Department of Economics View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (82)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1988) View citations (9)
  2. SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR
    Working Papers, University of Washington, Department of Economics View citations (4)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1988) View citations (29)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (41)

    See also Journal Article in Econometrica (1990)
  3. THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE
    Working Papers, University of Washington, Department of Economics View citations (4)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (4)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1988) View citations (4)

    See also Journal Article in The Journal of Business (1990)
  4. THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS
    Working Papers, University of Washington, Department of Economics View citations (3)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (3)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1988) View citations (3)

1987

  1. Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (1988)

1986

  1. Long-Term Behavior of Yield Curves
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (1988)

1985

  1. A Reappraisal of Recent Tests of the Permanent Income Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
  2. Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

1983

  1. Pitfalls in the use of Time as an Explanatory Variable in Regression
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in Journal of Business & Economic Statistics (1984)

1979

  1. Spurious Periodicity in Inappropriately Detrended Time Series
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    See also Journal Article in Econometrica (1981)

Undated

  1. Nelson_Plosser
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads

Journal Articles

2008

  1. The Beveridge-Nelson decomposition in retrospect and prospect
    Journal of Econometrics, 2008, 146, (2), 202-206 Downloads View citations (19)
    See also Working Paper (2006)

2007

  1. Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?
    Journal of Macroeconomics, 2007, 29, (4), 690-707 Downloads View citations (1)
    See also Working Paper (2004)
  2. Expectation horizon and the Phillips Curve: the solution to an empirical puzzle
    Journal of Applied Econometrics, 2007, 22, (1), 161-178 Downloads View citations (29)
  3. New measures of the output gap based on the forward-looking new Keynesian Phillips curve
    Journal of Monetary Economics, 2007, 54, (2), 498-511 Downloads View citations (46)
  4. Sleep and psychological well-being
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2007, 82, (1), 147-163 Downloads View citations (6)
  5. Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (1), 1-27 Downloads View citations (7)
    See also Working Paper (2007)
  6. The zero-information-limit condition and spurious inference in weakly identified models
    Journal of Econometrics, 2007, 138, (1), 47-62 Downloads View citations (17)
    See also Working Paper (2007)
  7. Why are stock returns and volatility negatively correlated?
    Journal of Empirical Finance, 2007, 14, (1), 41-58 Downloads View citations (32)

2006

  1. BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX
    Macroeconomic Dynamics, 2006, 10, (05), 573-594 Downloads View citations (7)
    See also Working Paper (2006)
  2. Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data
    Journal of Monetary Economics, 2006, 53, (8), 1949-1966 Downloads View citations (81)

2005

  1. The Structural Break in the Equity Premium
    Journal of Business & Economic Statistics, 2005, 23, 181-191 Downloads View citations (30)

2004

  1. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
    Journal of Money, Credit and Banking, 2004, 36, (3), 339-60 View citations (41)
    See also Working Paper (2000)
  2. The Great Depression and Output Persistence: A Reply to Papell and Prodan
    Journal of Money, Credit and Banking, 2004, 36, (3), 429-32 View citations (5)
  3. The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations
    Journal of Business & Economic Statistics, 2004, 22, (1), 80-93 View citations (68)
    See also Working Paper (2003)

2003

  1. Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?
    The Review of Economics and Statistics, 2003, 85, (2), 235-243 Downloads View citations (174)
    See also Working Paper (2003)

2002

  1. The Great Depression and Output Persistence
    Journal of Money, Credit and Banking, 2002, 34, (4), 1090-98 View citations (8)
    See also Working Paper (2000)

2001

  1. A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models
    International Economic Review, 2001, 42, (4), 989-1013 View citations (11)
    See also Working Paper (1999)
  2. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
    Journal of Empirical Finance, 2001, 8, (4), 403-426 Downloads View citations (7)
    See also Working Paper (2000)
  3. Markov Regime Switching and Unit-Root Tests
    Journal of Business & Economic Statistics, 2001, 19, (4), 404-15 View citations (49)
    See also Working Paper (2001)

2000

  1. Output fluctuations in the United States: what has changed since the early 1980s? comments
    Proceedings, 2000 Downloads View citations (9)
  2. The uncertain trend in U.S. GDP
    Journal of Monetary Economics, 2000, 46, (1), 79-95 Downloads View citations (58)
    See also Working Paper (1998)

1999

  1. Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components
    Journal of Money, Credit and Banking, 1999, 31, (3), 317-34 View citations (76)
    See also Working Paper (1997)
  2. 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, 1999, 81, (4), 608-616 Downloads View citations (384)

1998

  1. Book reviews
    Econometric Reviews, 1998, 17, (2), 215-220 Downloads
  2. 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, 1998, 80, (2), 188-201 Downloads View citations (184)
  3. Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1
    Journal of Empirical Finance, 1998, 5, (4), 385-396 Downloads View citations (39)
  4. Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
    Journal of Empirical Finance, 1998, 5, (2), 131-154 Downloads View citations (73)
  5. Valid Confidence Intervals and Inference in the Presence of Weak Instruments
    International Economic Review, 1998, 39, (4), 1119-46 View citations (43)
    See also Working Paper (1997)

1994

  1. Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary)
    Review, 1994, (Mar), 110-116 Downloads

1993

  1. Predictable Stock Returns: The Role of Small Sample Bias
    Journal of Finance, 1993, 48, (2), 641-61 Downloads View citations (232)

1990

  1. Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
    Econometrica, 1990, 58, (4), 967-76 Downloads View citations (194)
    See also Working Paper (1988)
  2. The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One
    The Journal of Business, 1990, 63, (1), S125-40 Downloads View citations (211)
    See also Working Paper (1988)

1989

  1. A Markov model of heteroskedasticity, risk, and learning in the stock market
    Journal of Financial Economics, 1989, 25, (1), 3-22 Downloads View citations (204)
    See also Working Paper (1989)
  2. The NERC Fan in Retrospect and Lessons for the Future
    The Energy Journal, 1989, Volume 10, (Number 2), 91-107 Downloads View citations (4)
  3. The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis
    Journal of Business & Economic Statistics, 1989, 7, (4), 433-40 View citations (24)

1988

  1. Long-Term Behavior of Yield Curves
    Journal of Financial and Quantitative Analysis, 1988, 23, (01), 105-110 Downloads View citations (20)
    See also Working Paper (1986)
  2. Spurious trend and cycle in the state space decomposition of a time series with a unit root
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 475-488 Downloads View citations (14)
    See also Working Paper (1987)

1987

  1. 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, 1987, 95, (3), 641-46 Downloads
  2. Parsimonious Modeling of Yield Curves
    The Journal of Business, 1987, 60, (4), 473-89 Downloads View citations (775)

1985

  1. Macroeconomic time-series, business cycles, and macroeconomic policies A comment
    Carnegie-Rochester Conference Series on Public Policy, 1985, 22, (1), 55-59 Downloads View citations (1)
  2. The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts
    Journal of Business & Economic Statistics, 1985, 3, (3), 179-87 View citations (2)

1984

  1. Pitfalls in the Use of Time as an Explanatory Variable in Regression
    Journal of Business & Economic Statistics, 1984, 2, (1), 73-82 View citations (54)
    See also Working Paper (1983)

1982

  1. Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model"
    Journal of Money, Credit and Banking, 1982, 14, (4), 877-80 Downloads
  2. Trends and random walks in macroeconmic time series: Some evidence and implications
    Journal of Monetary Economics, 1982, 10, (2), 139-162 Downloads View citations (1678)

1981

  1. 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, 1981, 7, (2), 151-174 Downloads View citations (703)
  2. Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon
    Journal of Money, Credit and Banking, 1981, 13, (1), 1-11 Downloads View citations (1)
  3. Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply
    Journal of Money, Credit and Banking, 1981, 13, (4), 494-96 Downloads View citations (1)
  4. Spurious Periodicity in Inappropriately Detrended Time Series
    Econometrica, 1981, 49, (3), 741-51 Downloads View citations (148)
    See also Working Paper (1979)

1979

  1. Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon
    Proceedings, 1979, (3), 4-22
  2. Discussion of the Zellner and Schwert papers
    Carnegie-Rochester Conference Series on Public Policy, 1979, 10, (1), 97-102 Downloads View citations (1)
  3. Granger Causality and the Natural Rate Hypothesis
    Journal of Political Economy, 1979, 87, (2), 390-94 Downloads View citations (3)
  4. Hypothesis testing based on goodness-of-fit in the moving average time series model
    Journal of Econometrics, 1979, 10, (2), 221-226 Downloads
  5. Recursive Structure in U.S. Income, Prices, and Output
    Journal of Political Economy, 1979, 87, (6), 1307-27 Downloads View citations (7)
    Also in Proceedings, 1976, (1), 2-32 (1976)

1978

  1. The stochastic properties of velocity and the quantity theory of money
    Journal of Monetary Economics, 1978, 4, (2), 229-248 Downloads View citations (2)

1977

  1. Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant
    American Economic Review, 1977, 67, (3), 478-86 Downloads View citations (77)

1976

  1. Gains in efficiency from joint estimation of systems of autoregressive-moving average processes
    Journal of Econometrics, 1976, 4, (4), 331-348 Downloads View citations (1)
  2. Inflation and Capital Budgeting
    Journal of Finance, 1976, 31, (3), 923-31 Downloads View citations (4)
  3. Inflation and Rates of Return on Common Stocks
    Journal of Finance, 1976, 31, (2), 471-83 Downloads View citations (149)

1975

  1. Rational Expectations and the Estimation of Econometric Models
    International Economic Review, 1975, 16, (3), 555-61 Downloads View citations (11)
  2. Rational Expectations and the Predictive Efficiency of Economic Models
    The Journal of Business, 1975, 48, (3), 331-43 Downloads View citations (17)
  3. 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, 1975, 7, (1), 1-32 Downloads View citations (18)

1974

  1. The Stochastic Structure of the Velocity of Money
    American Economic Review, 1974, 64, (3), 405-18 Downloads View citations (9)
  2. The first-order moving average process: Identification, estimation and prediction
    Journal of Econometrics, 1974, 2, (2), 121-141 Downloads View citations (3)

1972

  1. Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates
    Econometrica, 1972, 40, (2), 277-87 Downloads View citations (4)
  2. Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework
    Journal of Political Economy, 1972, 80, (6), 1259-70 Downloads
  3. The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy
    American Economic Review, 1972, 62, (5), 902-17 Downloads View citations (46)

1970

  1. A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment
    Journal of Political Economy, 1970, 78, (4), 764-67 Downloads

Books

1999

  1. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, vol 1
    MIT Press Books, The MIT Press View citations (684)

Software Items

 
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