Charles R. Nelson : Citation Profile

Are you Charles R. Nelson?

University of Washington

30

H index

46

i10 index

7009

Citations

RESEARCH PRODUCTION:

68

Articles

93

Papers

1

Books

RESEARCH ACTIVITY:

   40 years (1970 - 2010). See details.
   Cites by year: 175
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 490.    Total self citations: 35 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pne247
   Updated: 2018-11-17    RAS profile: 2013-10-11    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Charles R. Nelson.

Is cited by:

Gil-Alana, Luis (75)

Morley, James (73)

Piger, Jeremy (68)

Kim, Chang-Jin (57)

GUPTA, RANGAN (55)

Diebold, Francis (43)

Kishor, N (41)

Miller, Stephen (39)

Perron, Pierre (37)

Owyang, Michael (35)

Guidolin, Massimo (35)

Cites to:

Startz, Richard (21)

Kim, Chang-Jin (17)

Hamilton, James (11)

Schwert, G. (10)

Stock, James (10)

Perron, Pierre (9)

Gertler, Mark (9)

Harvey, Andrew (8)

Gali, Jordi (8)

Watson, Mark (8)

Orphanides, Athanasios (7)

Main data

Where Charles R. Nelson has published?

Journals with more than one article published# docs
Journal of Money, Credit and Banking8
Journal of Monetary Economics6
Journal of Business & Economic Statistics6
Journal of Political Economy5
Journal of Econometrics5
Journal of Empirical Finance4
International Economic Review3
American Economic Review3
Proceedings3
The Review of Economics and Statistics3
Journal of Finance3
Econometrica3
The Journal of Business3
Carnegie-Rochester Conference Series on Public Policy2

Working Papers Series with more than one paper published# docs
Working Papers / University of Washington, Department of Economics38
Working Papers / Federal Reserve Bank of St. Louis3
Econometrics / University Library of Munich, Germany2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Charles R. Nelson (2018 and 2017)

YearTitle of citing document
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Variance swap payoffs, risk premia and extreme market conditions. (2017). Stentoft, Lars ; Violante, Francesco . In: CREATES Research Papers. RePEc:aah:create:2017-21.

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2017Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-03.

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2017London Calling: Nonlinear Mean Reversion across National Stock Markets. (2017). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-05.

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2018London Calling: Nonlinear Mean Reversion across National Stock Markets. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-01.

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2017Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Stock, James H ; Watson, Mark W. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86.

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2018Effect of exchange rate policy on GDP and GDP components: The Kyrgyz Republic Case. (2018). Sekmen, Fuat ; Madmarov, Nurbek. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:137-166.

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2017Modeling of stock indices with HMM-SV models. (2017). Nkemnole, E B ; Wulu, J T. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60.

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2018Examining the Sustainability of the US Shale Oil Boom. (2018). Bejan, Vladimir . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274314.

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2018Relevance of Declining Agriculture in Economic Development of South Asian Countries: An Empirical Analysis. (2018). Ansari, S A ; Khan, W. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276108.

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2018Time Series Analysis of the Behaviour of Import and Export of Agricultural and Non-Agricultural Goods in West Africa: A Case Study of Nigeria. (2018). YAYA, OLAOLUWA ; Aromolaran, O ; Akinlana, D M ; Awe, O O. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276109.

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2017Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344.

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2017A Model of the Fed’s View on Inflation. (2017). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: Economic Research Papers. RePEc:ags:uwarer:269087.

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2017“Unbiased estimation of autoregressive models forbounded stochastic processes. (2017). Gadea, María ; Carrion-i-Silvestre, Josep ; Montaes, Antonio. In: AQR Working Papers. RePEc:aqr:wpaper:201710.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2018Exact Smooth Term-Structure Estimation. (2018). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1606.03899.

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2018Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296.

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2018Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Biswas, Arunangshu ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1707.01237.

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2018Arbitrage-Free Regularization. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05114.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2018The determinants of bank loan recovery rates in good times and bad - new evidence. (2018). Wang, Hong ; Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S. In: Papers. RePEc:arx:papers:1804.07022.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

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2018Stochastic model specification in Markov switching vector error correction models. (2018). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529.

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2018Non-Asymptotic Inference in Instrumental Variables Estimation. (2018). Horowitz, Joel L. In: Papers. RePEc:arx:papers:1809.03600.

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2018Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish . In: Papers. RePEc:arx:papers:1809.06077.

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2018Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization. (2018). Crayton, Ancil. In: Papers. RePEc:arx:papers:1809.08718.

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2018The Determinants of CPI Inflation in Bangladesh, 1980-2016. (2018). Alam, Mohammad Mahabub. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2018:p:441-461.

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2018R2 bounds for predictive models: what univariate properties tell us about multivariate predictability. (2018). wright, stephen ; Robertson, Donald ; Mitchell, James. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1804.

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2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:17-22.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2017Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; de Freitas, Flavio . In: Working Papers Series. RePEc:bcb:wpaper:463.

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2017A menu on output gap estimation methods. (2017). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomez-Loscos, Ana . In: Working Papers. RePEc:bde:wpaper:1720.

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2017Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726.

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2017Model averaging in markov-switching models: predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1727.

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2017Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731.

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2017Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; Aprigliano, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2017Investment decisions by European firms and financing constraints. (2017). Silvestrini, Andrea ; Mäkinen, Taneli ; Makinen, Taneli ; Mercatanti, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1148_17.

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2017CAPITAL PRODUCTIVITY IN INDUSTRIALISED ECONOMIES: EVIDENCE FROM ERROR-CORRECTION MODEL AND LAGRANGE MULTIPLIER TESTS. (2017). Trofimov, Ivan D. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:215:p:53-80.

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2017Time-varying fiscal spending multipliers in the UK. (2017). Towbin, Pascal ; Sestieri, Giulia ; Glocker, Christian. In: Working papers. RePEc:bfr:banfra:643.

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2017Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets. (2017). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter . In: BIS Working Papers. RePEc:bis:biswps:631.

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2017Chinas evolving monetary policy rule: from inflation-accommodating to anti-inflation policy. (2017). Ma, Guonan ; girardin, eric ; Lunven, Sandrine . In: BIS Working Papers. RePEc:bis:biswps:641.

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2018Global factors and trend inflation. (2018). Wong, Benjamin ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:688.

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2018Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility. (2018). Nason, James ; Mertens, Elmar. In: BIS Working Papers. RePEc:bis:biswps:713.

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2018A time series model of interest rates with the effective lower bound. (2018). Mertens, Elmar ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:715.

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2018When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34.

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2017Real exchange rate misalignment of Asian currencies. (2017). Toulaboe, Dosse. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:31:y:2017:i:1:p:39-52.

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2017OUTPUT GROWTH AND STRUCTURAL REFORM IN LATIN AMERICA: HAVE BUSINESS CYCLES CHANGED?. (2017). Fossati, Sebastian. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:1:p:62-75.

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2017The Dynamic Behaviour of Implicit Inflation Targets for ‘Inflation Targeting Lite’ Economies. (2017). Kishor, N ; Hosny, Amr ; Bhatt, Vipul. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:67-88.

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2017Aggregate and Firm-level Volatility in the Japanese Economy. (2017). KWON, Hyeog Ug ; Kim, YoungGak ; Ug, Hyeog. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:2:p:158-172.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017Cointegrated Linear Processes in Hilbert Space. (2017). Beare, Brendan ; Seo, Won-Ki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:1010-1027.

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2017A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency. (2017). Fermin, Lisandro Javier ; Rodriguez, Luis Angel ; Rios, Ricardo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:809-837.

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2017Measuring Business Cycles Intra-Synchronization in US: A Regime-switching Interdependence Framework. (2017). Leiva-Leon, Danilo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:513-545.

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2017Bilateral Tax Treaties and GDP Comovement. (2017). Weber, Caroline ; Sly, Nicholas. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:2:p:292-319.

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2017IDENTIFYING US BUSINESS CYCLE REGIMES USING FACTOR AUGMENTED NEURAL NETWORK MODELS. (2017). Soybilgen, Baris. In: Working Papers. RePEc:bli:wpaper:1703.

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2017Oil and macroeconomic (in)stability. (2017). Maih, Junior ; Larsen, Vegard ; Bjørnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0055.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2018Is Chinese monetary policy forward-looking?. (2018). Zhang, Chengsi ; Dang, Chao. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_006.

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2018Interaction between Business Cycles and Economic Growth. (2018). Kaihatsu, Sohei ; Hara, Naoko ; Sakata, Tomoya ; Koga, Maiko. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e12.

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2017The Role of Unobservable Fundamentals in Korea Exchange Rate Fluctuations: Bayesian Approach. (2017). Kim, Youngmin ; Lee, Seojin. In: Economic Analysis (Quarterly). RePEc:bok:journl:v:23:y:2017:i:3:p:1-22.

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2017Which Monetary Shocks Matter in Small Open Economies? Evidence from SVARs. (2017). Ha, Jongrim ; So, Inhwan. In: Working Papers. RePEc:bok:wpaper:1702.

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2017Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach. (2017). Ko, Kyunghwan. In: Working Papers. RePEc:bok:wpaper:1714.

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2017Detecting Change-Point via Saddlepoint Approximations. (2017). Zhaoyuan, LI ; Maozai, Tian. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:1:p:48-73:n:4.

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2018Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics. (2018). Kishor, N ; Kundan, Kishor N ; Omid, Ardakani. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:1:p:19:n:7.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Carvalho, Carlos ; Pettenuzzo, Davide ; Fisher, Jared D. In: Working Papers. RePEc:brd:wpaper:123.

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2017Separating Yolk from White: A Filter based on Economic Properties of Trend and Cycle. (2017). Zhou, Peng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/1.

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2017Fat tails and spurious estimation of consumption-based asset pricing models. (2017). Toda, Alexis Akira ; Walsh, Kieran James. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt8df3x7gw.

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2017Métodos de Estimación de Curvas de Rendimiento Cupón Cero en Argentina. (2017). Delfau, Emiliano. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:623.

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2018Risk Framework Analysis in the Management of Sovereign Debt: The Argentine case. (2018). Delfau, Emiliano. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:634.

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2017Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle. (2017). Wolters, Maik ; Reif, Magnus ; Carstensen, Kai ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6457.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6482.

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2017Trends and Cycles in Macro Series: The Case of US Real GDP. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6728.

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2018Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2018). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7073.

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2018Why is there so much Inertia in Inflation and Output? A Behavioral Explanation. (2018). Ji, Yuemei. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7181.

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2017Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks. (2017). Pedersen, Michael ; Oda, Daniel A ; Martinez, Juan F. In: Notas de Investigación Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchni:v:20:y:2017:i:1:p:072-079.

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2017Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización. (2017). Martinez, Juan-Francisco ; Becerra, Juan Sebastian ; Cifuentes, Rodrigo . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:801.

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2018Expectativas Financieras y Tasas Forward en Chile. (2018). Sagner, Andres ; Fernandois, Antonio ; Alfaro, Rodrigo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:814.

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2018Pension Funds and the Yield Curve: The Role of Preference for Maturity. (2018). Alfaro, Rodrigo ; Calani, Mauricio . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:821.

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2017Application of the Government of Jamaica Zero-coupon Curve to Modeling Yield Curve Risk. (2017). Coke, Oma. In: Monetaria. RePEc:cml:moneta:v:xxxix:y:2017:i:1:p:1-38.

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2017Decomposition of the Czech government bond yield curve. (2017). Kucera, Adam ; Komarkova, Zlatuse ; Dvorak, Michal. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:fsr1617/3.

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2017Updating the Ultimate Forward Rate over Time: A Possible Approach. (2017). Zigraiova, Diana ; Jakubík, Petr ; Jakubik, Petr . In: Working Papers. RePEc:cnb:wpaper:2017/03.

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2017Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve. (2017). Komarek, Lubos ; Komarkova, Zlatuse ; Dvorak, Michal ; Kucera, Adam. In: Working Papers. RePEc:cnb:wpaper:2017/12.

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2017Dissecting US recoveries. (2017). Perez Quiros, Gabriel ; Gómez-Loscos, Ana ; Gadea, María ; Perez-Quiros, Gabriel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11997.

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2017Discovering pervasive and non-pervasive common cycles. (2017). Terrades, Antoni Espasa ; Real, Guillermo Carlomagno. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25392.

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2017Revisiting the forecasting accuracy of Phillips curve: the role of oil price. (2017). Salisu, Afees ; Isah, Kazeem ; Ademuyiwa, Idris . In: Working Papers. RePEc:cui:wpaper:0022.

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2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2018Identification- and Singularity-Robust Inference for Moment Condition. (2018). , Donald ; Guggenberger, Patrik . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r.

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2017Causality on Outward Foreign Direct Investment and Domestic Investment in Newly Industrialized Asian Countries. (2017). Tsung-Li, Wang ; Yang, Cheng-lang ; Lin, Hung-Pin. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:2:p:267-280.

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2017Estimating the Term Premium From A Gaussian Dynamic Term Structure Model – The Case of Romania. (2017). Alupoaiei, Alexie ; Altr-Samuel, Adam ; Kubinschi, Matei. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:173-188.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1667.

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2017Trends and Cycles in Macro Series: The Case of US Real GDP. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1695.

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2018Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH. (2018). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1750.

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2017Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-23.

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2017Synchronization of Economic Activity between Dollarized Economies and the United States. The cases of Ecuador and El Salvador. (2017). de Lourdes, Maria ; Castillo-Ponce, Ramon A. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:17:y:2017:i:1_6.

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2017The relationship between Output Uncertainty and Economic Growth-Evidence from India. (2017). Ramachandran, M ; Durai, Raja Sethu ; Sethudurai, Raja ; Bathmanaban, Balaji. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00543.

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2017Exploring the nexus between Stock prices and Macroeconomic shocks: Panel VAR approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00712.

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More than 100 citations found, this list is not complete...

Works by Charles R. Nelson:

YearTitleTypeCited
1972The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy. In: American Economic Review.
[Full Text][Citation analysis]		article43
1974The Stochastic Structure of the Velocity of Money. In: American Economic Review.
[Full Text][Citation analysis]		article9
1977Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant. In: American Economic Review.
[Full Text][Citation analysis]		article73
1989The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal.
[Full Text][Citation analysis]		article4
2005Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework In: 2005 Annual meeting, July 24-27, Providence, RI.
[Full Text][Citation analysis]		paper3
2001Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article58
2000Markov regime-switching and unit root tests.(2000) In: International Finance Discussion Papers.
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2001Markov regime switching and unit root tests.(2001) In: Working Papers.
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2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article102
2001The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2001) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
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2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 102		paper
2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article30
1984Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics.
[Citation analysis]		article65
1983Pitfalls in the use of Time as an Explanatory Variable in Regression.(1983) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 65		paper
1985The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]		article2
1989The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics.
[Citation analysis]		article23
1976Inflation and Rates of Return on Common Stocks. In: Journal of Finance.
[Full Text][Citation analysis]		article140
1976Inflation and Capital Budgeting. In: Journal of Finance.
[Full Text][Citation analysis]		article3
1993 Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance.
[Full Text][Citation analysis]		article220
Nelson_Plosser In: Instructional Stata datasets for econometrics.
[Full Text][Citation analysis]		paper0
2007Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article11
2007Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
1988Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article20
1986Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2006BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article7
2006Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
1972Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates. In: Econometrica.
[Full Text][Citation analysis]		article4
1981Spurious Periodicity in Inappropriately Detrended Time Series. In: Econometrica.
[Full Text][Citation analysis]		article137
1979Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 137		paper
1990Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica.
[Full Text][Citation analysis]		article204
1988SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
This paper has another version. Agregated cites: 204		paper
1988Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
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1988SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 204		paper
2004Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]		paper2
2007Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?.(2007) In: Journal of Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2004The Zero-Information-Limit Condition and Spurious Inference In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper1
2000Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper165
2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
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2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Working Papers.
[Full Text][Citation analysis]
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2002Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers.
[Full Text][Citation analysis]
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2003Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?.(2003) In: Working Papers.
[Citation analysis]
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2000Improved Inference for the Instrumental Variables Estimator In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper12
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
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1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Working Papers.
[Full Text][Citation analysis]
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1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Econometrics.
[Full Text][Citation analysis]
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1979Discussion of the Zellner and Schwert papers In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article1
1985Macroeconomic time-series, business cycles, and macroeconomic policies A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article1
1988Spurious trend and cycle in the state space decomposition of a time series with a unit root In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article17
1987Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root.(1987) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 17		paper
1979Hypothesis testing based on goodness-of-fit in the moving average time series model In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2007The zero-information-limit condition and spurious inference in weakly identified models In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2004The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models.(2004) In: Working Papers.
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2007The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2008The Beveridge-Nelson decomposition in retrospect and prospect In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2006The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
1974The first-order moving average process : Identification, estimation and prediction In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
1976Gains in efficiency from joint estimation of systems of autoregressive-moving average processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2007Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article28
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article67
1998Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article34
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article10
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
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1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
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2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
[Full Text][Citation analysis]
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1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
[Full Text][Citation analysis]
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1989A Markov model of heteroskedasticity, risk, and learning in the stock market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article182
1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market.(1989) In: NBER Working Papers.
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This paper has another version. Agregated cites: 182		paper
1982Trends and random walks in macroeconmic time series : Some evidence and implications In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article1606
2000The uncertain trend in U.S. GDP In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article68
1998The Uncertain Trend in U.S. GDP.(1998) In: Discussion Papers in Economics at the University of Washington.
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1997The Uncertain Trend in U.S. GDP..(1997) In: Discussion Papers in Economics at the University of Washington.
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1998The Uncertain Trend in U.S. GDP.(1998) In: Working Papers.
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1997The Uncertain Trend in U.S. GDP..(1997) In: Working Papers.
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1997The Uncertain Trend in U.S. GDP.(1997) In: Computational Economics.
[Full Text][Citation analysis]
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1978The stochastic properties of velocity and the quantity theory of money In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article2
2006Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article74
2007New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article46
1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article647
1976Recursive structure in U.S. income, prices and output In: Proceedings.
[Citation analysis]		article6
1979Recursive Structure in U.S. Income, Prices, and Output..(1979) In: Journal of Political Economy.
[Full Text][Citation analysis]
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1979Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon In: Proceedings.
[Citation analysis]		article0
2000Output fluctuations in the United States: what has changed since the early 1980s? comments In: Proceedings.
[Full Text][Citation analysis]		article9
1994Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) In: Review.
[Full Text][Citation analysis]		article0
2003Business cycle detrending of macroeconomic data via a latent business cycle index In: Working Papers.
[Full Text][Citation analysis]		paper1
2000The Great Depression and Output Persistence In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper9
2002The Great Depression and Output Persistence..(2002) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 9		article
2000The Great Depression and Output Persistence.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2000State-Space Modeling of the Relationship Between Air Quality and Mortality In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper2
2000State-Space Modeling of the Relationship Between Air Quality and Mortality.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper44
2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 44		article
2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2000) In: Working Papers.
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2000Is There a Structural Break in the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
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2000Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper22
1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Discussion Papers in Economics at the University of Washington.
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2001A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models..(2001) In: International Economic Review.
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1999) In: Working Papers.
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1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Working Papers.
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1999Unit Root Tests in the Presence of Markov Regime-Switching In: Discussion Papers in Economics at the University of Washington.
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1999Unit Root Tests in the Presence of Markov Regime-Switching.(1999) In: Working Papers.
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This paper has another version. Agregated cites: 4		paper
1988THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper208
1988The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One.(1988) In: NBER Technical Working Papers.
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1990The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One..(1990) In: The Journal of Business.
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1988THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE..(1988) In: Working Papers.
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1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper2
1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS..(1988) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper9
1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE..(1988) In: Working Papers.
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1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper149
1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) In: Working Papers.
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1989GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper0
1989GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987..(1989) In: Working Papers.
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1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper2
1990Predictable Stock Returns: Reality or Statistical Illusion?.(1990) In: NBER Working Papers.
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1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?..(1990) In: Working Papers.
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1990More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong. In: Discussion Papers in Economics at the University of Washington.
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1990More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong..(1990) In: Working Papers.
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1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper0
1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper40
1997Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Discussion Papers in Economics at the University of Washington.
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1998Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1998) In: International Economic Review.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1996) In: Working Papers.
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1997Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Working Papers.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments.(1996) In: Econometrics.
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1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington.
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1999Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking.
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1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components..(1997) In: Working Papers.
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1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
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1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization..(1997) In: Working Papers.
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1975Rational Expectations and the Estimation of Econometric Models. In: International Economic Review.
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2010Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components In: Economics Series.
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2008Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components.(2008) In: Working Papers.
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2007Expectation horizon and the Phillips Curve: the solution to an empirical puzzle In: Journal of Applied Econometrics.
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1981Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon. In: Journal of Money, Credit and Banking.
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1981Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply. In: Journal of Money, Credit and Banking.
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1982Comment on Policy Robustness: Specification and Simulation of a Monthly Money Market Model. In: Journal of Money, Credit and Banking.
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2004The Great Depression and Output Persistence: A Reply to Papell and Prodan. In: Journal of Money, Credit and Banking.
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1975The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors. In: Journal of Money, Credit and Banking.
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1999State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications In: MIT Press Books.
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1988The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis In: NBER Technical Working Papers.
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1985Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills In: NBER Working Papers.
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1985A Reappraisal of Recent Tests of the Permanent Income Hypothesis In: NBER Working Papers.
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1987Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP In: NBER Working Papers.
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1988Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence In: NBER Working Papers.
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2007Sleep and psychological well-being In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement.
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1998Book reviews In: Econometric Reviews.
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1998Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching In: The Review of Economics and Statistics.
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1999Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle In: The Review of Economics and Statistics.
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2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? In: The Review of Economics and Statistics.
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1975Rational Expectations and the Predictive Efficiency of Economic Models. In: The Journal of Business.
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1987Parsimonious Modeling of Yield Curves. In: The Journal of Business.
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1970A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment. In: Journal of Political Economy.
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1972Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework. In: Journal of Political Economy.
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1979Granger Causality and the Natural Rate Hypothesis. In: Journal of Political Economy.
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1987A Reappraisal of Recent Tests of the Permanent Income Hypothesis [Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence]. In: Journal of Political Economy.
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1996Valid Confidence Regions and Inference in the Presence of Weak Instruments In: Working Papers.
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1996Valid Confidence Regions and Inference in the Presence of Weak Instruments.(1996) In: Working Papers.
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2006A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds In: Working Papers.
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2008Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? In: Working Papers.
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2006A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data In: Working Papers.
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