Details about Charles R. Nelson

Workplace:

Department of Economics, University of Washington, (more information at EDIRC)

Access statistics for papers by Charles R. Nelson.

Last updated 2025-01-08. Update your information in the RePEc Author Service.

Short-id: pne247

---

Jump to Journal Articles Books

Working Papers

2013

1. Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
   MPRA Paper, University Library of Munich, Germany
   Also in Discussion Paper Series, Institute of Economic Research, Korea University (2013)
   See also Journal Article Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve, Journal of Money, Credit and Banking, Blackwell Publishing (2014) View citations (37) (2014)

2010

2. 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 View citations (3)
   Also in Working Papers, University of Washington, Department of Economics (2008) View citations (3)

2008

3. Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?
   Working Papers, University of Washington, Department of Economics View citations (7)
   See also Journal Article Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?, Journal of Financial Econometrics, Oxford University Press (2014) View citations (7) (2014)

2007

4. Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified
   Working Papers, University of Washington, Department of Economics View citations (20)
   See also Journal Article Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2007) View citations (22) (2007)
5. The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models
   Working Papers, University of Washington, Department of Economics View citations (23)
   Also in Working Papers, University of Washington, Department of Economics (2004)
   See also Journal Article The zero-information-limit condition and spurious inference in weakly identified models, Journal of Econometrics, Elsevier (2007) View citations (30) (2007)

2006

6. 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
7. 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 View citations (97)
8. Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index
   Working Papers, University of Washington, Department of Economics View citations (7)
   See also Journal Article BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX, Macroeconomic Dynamics, Cambridge University Press (2006) View citations (7) (2006)
9. The Beveridge-Nelson Decomposition in Retrospect and Prospect
   Working Papers, University of Washington, Department of Economics
   See also Journal Article The Beveridge-Nelson decomposition in retrospect and prospect, Journal of Econometrics, Elsevier (2008) View citations (37) (2008)

2005

10. 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) View citations (4)

2004

11. 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 Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?, Journal of Macroeconomics, Elsevier (2007) View citations (1) (2007)
12. The Zero-Information-Limit Condition and Spurious Inference
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)

2003

13. Business cycle detrending of macroeconomic data via a latent business cycle index
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
14. The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2001) View citations (31)
    See also Journal Article The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (109) (2004)
15. Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?
    Working Papers, University of Washington, Department of Economics View citations (276)
    Also in Working Papers, University of Washington, Department of Economics (2002) View citations (9)
    Working Papers, University of Washington, Department of Economics (2000)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (39)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (65)
    See also Journal Article Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?, The Review of Economics and Statistics, MIT Press (2003) View citations (306) (2003)

2001

16. Markov regime switching and unit root tests
    Working Papers, Federal Reserve Bank of St. Louis View citations (60)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2000) View citations (15)
    See also Journal Article Markov Regime Switching and Unit-Root Tests, Journal of Business & Economic Statistics, American Statistical Association (2001) View citations (76) (2001)

2000

17. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
    Working Papers, University of Washington, Department of Economics View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (1)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations (2)
    Working Papers, University of Washington, Department of Economics (1999) View citations (2)
    See also Journal Article Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?, Journal of Empirical Finance, Elsevier (2001) View citations (13) (2001)
18. Improved Inference for the Instrumental Variables Estimator
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)
    Also in Econometrics, University Library of Munich, Germany (1999) View citations (10)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations (9)
    Working Papers, University of Washington, Department of Economics (1999) View citations (8)
19. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations (8)
    Also in Working Papers, University of Washington, Department of Economics (2000) View citations (4)
    See also Journal Article Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?, Journal of Money, Credit and Banking, Blackwell Publishing (2004) View citations (55) (2004)
20. 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 View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2000) View citations (1)
21. 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 View citations (2)
    Also in Working Papers, University of Washington, Department of Economics (2000) View citations (2)
22. The Great Depression and Output Persistence
    Working Papers, University of Washington, Department of Economics View citations (2)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (1)
    See also Journal Article The Great Depression and Output Persistence, Journal of Money, Credit and Banking, Blackwell Publishing (2002) View citations (11) (2002)

1999

23. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
    Working Papers, University of Washington, Department of Economics View citations (9)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) View citations (5)
    Working Papers, University of Washington, Department of Economics (1998) View citations (4)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations (7)
    See also Journal Article 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 (2001) View citations (17) (2001)
24. Unit Root Tests in the Presence of Markov Regime-Switching
    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 (1999) View citations (1)

1998

25. The Uncertain Trend in U.S. GDP
    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) View citations (1)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1997)
    Working Papers, University of Washington, Department of Economics (1998) View citations (17)
    Computational Economics, University Library of Munich, Germany (1997) View citations (3)
    See also Journal Article The uncertain trend in U.S. GDP, Journal of Monetary Economics, Elsevier (2000) View citations (70) (2000)

1997

26. Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components
    Working Papers, University of Washington, Department of Economics
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1997)
    See also Journal Article Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, Journal of Money, Credit and Banking, Blackwell Publishing (1999) View citations (127) (1999)
27. 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)
28. 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 (1997)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1996)
    Working Papers, University of Washington, Department of Economics (1996)
    Econometrics, University Library of Munich, Germany (1996) View citations (18)
    See also Journal Article 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 (1998) View citations (54) (1998)

1996

29. Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization
    Working Papers, University of Washington, Department of Economics
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1996)
30. 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)

1990

31. More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong
    Working Papers, University of Washington, Department of Economics View citations (2)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1990) View citations (1)
32. PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?
    Working Papers, University of Washington, Department of Economics View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (3)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1990) View citations (2)

1989

33. A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (267)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1989) View citations (202)
    Working Papers, University of Washington, Department of Economics (1989) View citations (264)
    See also Journal Article A Markov model of heteroskedasticity, risk, and learning in the stock market, Journal of Financial Economics, Elsevier (1989) View citations (262) (1989)
34. GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987
    Working Papers, University of Washington, Department of Economics
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1989)

1988

35. MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE
    Working Papers, University of Washington, Department of Economics View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (87)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1988) View citations (10)
    See also Journal Article Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence, The Review of Economic Studies, Review of Economic Studies Ltd (1991) View citations (171) (1991)
36. SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations (29)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) View citations (41)
    Working Papers, University of Washington, Department of Economics (1988) View citations (6)
    See also Journal Article Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator, Econometrica, Econometric Society (1990) View citations (266) (1990)
37. 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 (6)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) 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 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 (1990) View citations (255) (1990)
38. 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, Department of Economics at the University of Washington View citations (3)
    Also in Working Papers, University of Washington, Department of Economics (1988) View citations (4)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) View citations (4)

1987

39. Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
40. 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 View citations (5)
    See also Journal Article Spurious trend and cycle in the state space decomposition of a time series with a unit root, Journal of Economic Dynamics and Control, Elsevier (1988) View citations (23) (1988)

1986

41. Long-Term Behavior of Yield Curves
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Long-Term Behavior of Yield Curves, Journal of Financial and Quantitative Analysis, Cambridge University Press (1988) View citations (25) (1988)

1985

42. A Reappraisal of Recent Tests of the Permanent Income Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
43. Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

1983

44. Pitfalls in the use of Time as an Explanatory Variable in Regression
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article Pitfalls in the Use of Time as an Explanatory Variable in Regression, Journal of Business & Economic Statistics, American Statistical Association (1984) View citations (68) (1984)

1979

45. SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES
    Economic Research Papers, University of Warwick - Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1979)
    See also Journal Article Spurious Periodicity in Inappropriately Detrended Time Series, Econometrica, Econometric Society (1981) View citations (179) (1981)

Undated

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

Journal Articles

2014

1. Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?
   Journal of Financial Econometrics, 2014, 12, (2), 307-328 View citations (7)
   See also Working Paper Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?, Working Papers (2008) View citations (7) (2008)
2. Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
   Journal of Money, Credit and Banking, 2014, 46, (2-3), 253-266 View citations (37)
   See also Working Paper Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve, MPRA Paper (2013) (2013)

2008

3. The Beveridge-Nelson decomposition in retrospect and prospect
   Journal of Econometrics, 2008, 146, (2), 202-206 View citations (37)
   See also Working Paper The Beveridge-Nelson Decomposition in Retrospect and Prospect, Working Papers (2006) (2006)

2007

4. Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?
   Journal of Macroeconomics, 2007, 29, (4), 690-707 View citations (1)
   See also Working Paper Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?, Econometric Society 2004 Far Eastern Meetings (2004) View citations (1) (2004)
5. Expectation horizon and the Phillips Curve: the solution to an empirical puzzle
   Journal of Applied Econometrics, 2007, 22, (1), 161-178 View citations (43)
6. New measures of the output gap based on the forward-looking new Keynesian Phillips curve
   Journal of Monetary Economics, 2007, 54, (2), 498-511 View citations (81)
7. Sleep and psychological well-being
   Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2007, 82, (1), 147-163 View citations (14)
8. Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
   Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (1), 29 View citations (22)
   See also Working Paper Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified, Working Papers (2007) View citations (20) (2007)
9. The zero-information-limit condition and spurious inference in weakly identified models
   Journal of Econometrics, 2007, 138, (1), 47-62 View citations (30)
   See also Working Paper The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models, Working Papers (2007) View citations (23) (2007)
10. Why are stock returns and volatility negatively correlated?
    Journal of Empirical Finance, 2007, 14, (1), 41-58 View citations (47)

2006

11. BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX
    Macroeconomic Dynamics, 2006, 10, (5), 573-594 View citations (7)
    See also Working Paper Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index, Working Papers (2006) View citations (7) (2006)
12. 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 View citations (144)

2005

13. The Structural Break in the Equity Premium
    Journal of Business & Economic Statistics, 2005, 23, 181-191 View citations (38)

2004

14. 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 (55)
    See also Working Paper Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?, Discussion Papers in Economics at the University of Washington (2000) View citations (8) (2000)
15. 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 (7)
16. 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 (109)
    See also Working Paper The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations, Working Papers (2003) View citations (9) (2003)

2003

17. Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?
    The Review of Economics and Statistics, 2003, 85, (2), 235-243 View citations (306)
    See also Working Paper Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?, Working Papers (2003) View citations (276) (2003)

2002

18. The Great Depression and Output Persistence
    Journal of Money, Credit and Banking, 2002, 34, (4), 1090-98 View citations (11)
    See also Working Paper The Great Depression and Output Persistence, Working Papers (2000) View citations (2) (2000)

2001

19. A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models
    International Economic Review, 2001, 42, (4), 989-1013 View citations (17)
    See also Working Paper A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models, Working Papers (1999) View citations (9) (1999)
20. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
    Journal of Empirical Finance, 2001, 8, (4), 403-426 View citations (13)
    See also Working Paper Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?, Working Papers (2000) View citations (1) (2000)
21. Markov Regime Switching and Unit-Root Tests
    Journal of Business & Economic Statistics, 2001, 19, (4), 404-15 View citations (76)
    See also Working Paper Markov regime switching and unit root tests, Working Papers (2001) View citations (60) (2001)

2000

22. Output fluctuations in the United States: what has changed since the early 1980s? comments
    Proceedings, 2000 View citations (9)
23. The uncertain trend in U.S. GDP
    Journal of Monetary Economics, 2000, 46, (1), 79-95 View citations (70)
    See also Working Paper The Uncertain Trend in U.S. GDP, Discussion Papers in Economics at the University of Washington (1998) (1998)

1999

24. 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 (127)
    See also Working Paper Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, Working Papers (1997) (1997)
25. 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 View citations (788)

1998

26. Book reviews
    Econometric Reviews, 1998, 17, (2), 215-220
27. 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 View citations (288)
28. 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 View citations (57)
29. Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
    Journal of Empirical Finance, 1998, 5, (2), 131-154 View citations (90)
30. Valid Confidence Intervals and Inference in the Presence of Weak Instruments
    International Economic Review, 1998, 39, (4), 1119-46 View citations (54)
    See also Working Paper Valid Confidence Intervals and Inference in the Presence of Weak Instruments, Discussion Papers in Economics at the University of Washington (1997) (1997)

1994

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

1993

32. Predictable Stock Returns: The Role of Small Sample Bias
    Journal of Finance, 1993, 48, (2), 641-61 View citations (303)

1991

33. Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
    The Review of Economic Studies, 1991, 58, (3), 515-528 View citations (171)
    See also Working Paper MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE, Working Papers (1988) View citations (12) (1988)

1990

34. Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
    Econometrica, 1990, 58, (4), 967-76 View citations (266)
    See also Working Paper SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR, Discussion Papers in Economics at the University of Washington (1988) View citations (29) (1988)
35. 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 View citations (255)
    See also Working Paper THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE, Working Papers (1988) View citations (6) (1988)

1989

36. A Markov model of heteroskedasticity, risk, and learning in the stock market
    Journal of Financial Economics, 1989, 25, (1), 3-22 View citations (262)
    See also Working Paper A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market, NBER Working Papers (1989) View citations (267) (1989)
37. Implict Estimates of the Natural and Cyclical Components of Japan's Real GNP
    Monetary and Economic Studies, 1989, 7, (2), 73-91 View citations (1)
38. The NERC Fan in Retrospect and Lessons for the Future
    The Energy Journal, 1989, 10, (2), 91-108
    Also in The Energy Journal, 1989, Volume 10, (Number 2), 91-107 (1989) View citations (4)
39. 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 (37)

1988

40. Long-Term Behavior of Yield Curves
    Journal of Financial and Quantitative Analysis, 1988, 23, (1), 105-110 View citations (25)
    See also Working Paper Long-Term Behavior of Yield Curves, NBER Working Papers (1986) (1986)
41. 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 View citations (23)
    See also Working Paper Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root, NBER Technical Working Papers (1987) View citations (5) (1987)

1987

42. 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
43. Parsimonious Modeling of Yield Curves
    The Journal of Business, 1987, 60, (4), 473-89 View citations (1268)

1985

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

1984

46. Pitfalls in the Use of Time as an Explanatory Variable in Regression
    Journal of Business & Economic Statistics, 1984, 2, (1), 73-82 View citations (68)
    See also Working Paper Pitfalls in the use of Time as an Explanatory Variable in Regression, NBER Technical Working Papers (1983) View citations (11) (1983)

1982

47. Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model"
    Journal of Money, Credit and Banking, 1982, 14, (4), 877-80
48. Trends and random walks in macroeconmic time series: Some evidence and implications
    Journal of Monetary Economics, 1982, 10, (2), 139-162 View citations (2234)

1981

49. 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 View citations (1398)
50. 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 View citations (2)
51. 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 View citations (2)
52. Spurious Periodicity in Inappropriately Detrended Time Series
    Econometrica, 1981, 49, (3), 741-51 View citations (179)
    See also Working Paper SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES, Economic Research Papers (1979) (1979)

1979

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

1978

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

1977

59. 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 View citations (138)

1976

60. Gains in efficiency from joint estimation of systems of autoregressive-moving average processes
    Journal of Econometrics, 1976, 4, (4), 331-348 View citations (1)
61. Inflation and Capital Budgeting
    Journal of Finance, 1976, 31, (3), 923-31 View citations (10)
62. Inflation and Rates of Return on Common Stocks
    Journal of Finance, 1976, 31, (2), 471-83 View citations (203)

1975

63. Rational Expectations and the Estimation of Econometric Models
    International Economic Review, 1975, 16, (3), 555-61 View citations (15)
64. Rational Expectations and the Predictive Efficiency of Economic Models
    The Journal of Business, 1975, 48, (3), 331-43 View citations (21)
65. 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 View citations (41)

1974

66. The Stochastic Structure of the Velocity of Money
    American Economic Review, 1974, 64, (3), 405-18 View citations (12)
67. The first-order moving average process: Identification, estimation and prediction
    Journal of Econometrics, 1974, 2, (2), 121-141 View citations (4)

1972

68. Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates
    Econometrica, 1972, 40, (2), 277-87 View citations (6)
69. Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework
    Journal of Political Economy, 1972, 80, (6), 1259-70
70. The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy
    American Economic Review, 1972, 62, (5), 902-17 View citations (77)

1970

71. 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

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 (956)