29
H index
42
i10 index
6156
Citations
Charles R. Nelson : Citation Profile
University of Washington | RESEARCH PRODUCTION: 68 Articles 93 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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40 years (1970 - 2010). 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:
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Main data
Where Charles R. Nelson has published?
Recent works citing Charles R. Nelson (2017 and 2016)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10. Full description at Econpapers || Download paper | |
| 2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano . In: CREATES Research Papers. RePEc:aah:create:2017-16. Full description at Econpapers || Download paper | |
| 2017 | Variance swap payoffs, risk premia and extreme market conditions. (2017). , Jeroen ; Violante, Francesco ; Stentoft, Lars . In: CREATES Research Papers. RePEc:aah:create:2017-21. Full description at Econpapers || Download paper | |
| 2017 | Improving 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. Full description at Econpapers || Download paper | |
| 2017 | London Calling: Nonlinear Mean Reversion across National Stock Markets. (2017). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-05. Full description at Econpapers || Download paper | |
| 2016 | State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632. Full description at Econpapers || Download paper | |
| 2016 | How Credible Is the Federal Reserve? A Structural Estimation of Policy Re-optimizations. (2016). Lakdawala, Aeimit ; Debortoli, Davide. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:3:p:42-76. Full description at Econpapers || Download paper | |
| 2017 | Twenty 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. Full description at Econpapers || Download paper | |
| 2017 | Modeling 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. Full description at Econpapers || Download paper | |
| 2016 | A Dynamic Model of U. S. Beef Cow Inventories. (2016). Shonkwiler, J ; Li, Yunhan . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235385. Full description at Econpapers || Download paper | |
| 2016 | Climate as a Cause of Conflict: An Econometric Analysis. (2016). McCarl, Bruce ; Bessler, David ; Chen, Junyi ; Wu, Ximing ; Price, Edwin . In: 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas. RePEc:ags:saea16:229783. Full description at Econpapers || Download paper | |
| 2016 | Disoccupazione strutturale in Italia e regole europee di bilancio. (2016). Cianci, Alessandro . In: a/ Working Papers Series. RePEc:ais:wpaper:1601. Full description at Econpapers || Download paper | |
| 2016 | Behavioral Learning Equilibria, Persistence Amplification & Monetary Policy. (2016). Hommes, Cars ; Zhu, M. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:16-03. Full description at Econpapers || Download paper | |
| 2016 | FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE. (2016). Santos, Andre ; Moura, Guilherme ; Tourrucoo, Fabricio ; Caldeira, Joo F. In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:028. Full description at Econpapers || Download paper | |
| 2016 | FROM REAL BUSINESS CYCLE AND NEW KEYNESIAN TO DSGE MACROECONOMICS: FACTS AND MODELS IN THE EMERGENCE OF A CONSENSUS. (2016). Duarte, Pedro. In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:009. Full description at Econpapers || Download paper | |
| 2016 | Do Mature Economies Grow Exponentially?. (2016). Lange, Steffen ; Kopp, Thomas ; Putz, Peter . In: Papers. RePEc:arx:papers:1601.04028. Full description at Econpapers || Download paper | |
| 2016 | Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes. (2016). Aubin, Christian ; Goyeau, Daniel . In: Papers. RePEc:arx:papers:1603.01231. Full description at Econpapers || Download paper | |
| 2016 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
| 2017 | Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2016 | Kriging of financial term-structures. (2016). Rulliere, Didier ; Cousin, Areski ; Maatouk, Hassan . In: Papers. RePEc:arx:papers:1604.02237. Full description at Econpapers || Download paper | |
| 2016 | Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597. Full description at Econpapers || Download paper | |
| 2016 | Exact Smooth Term Structure Estimation. (2016). Willems, Sander ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1606.03899. Full description at Econpapers || Download paper | |
| 2016 | Predictability Hidden by Anomalous Observations. (2016). Trojani, Fabio ; Scaillet, Olivier ; Camponovo, Lorenzo . In: Papers. RePEc:arx:papers:1612.05072. Full description at Econpapers || Download paper | |
| 2017 | Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2017). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296. Full description at Econpapers || Download paper | |
| 2017 | Option Pricing in a Regime Switching Stochastic Volatility Model. (2017). Biswas, Arunangshu ; Goswami, Anindya . In: Papers. RePEc:arx:papers:1707.01237. Full description at Econpapers || Download paper | |
| 2016 | Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis. (2016). Guidolin, Massimo ; Pra, Giulia Dal ; Vasile, Fabiola ; Pedio, Manuela . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1637. Full description at Econpapers || Download paper | |
| 2016 | Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603. Full description at Econpapers || Download paper | |
| 2017 | Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Pozzi, Lorenzo ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-22. Full description at Econpapers || Download paper | |
| 2017 | A menu on output gap estimation methods. (2017). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomez-Loscos, Ana . In: Working Papers. RePEc:bde:wpaper:1720. Full description at Econpapers || Download paper | |
| 2017 | Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726. Full description at Econpapers || Download paper | |
| 2017 | Model averaging in markov-switching models: predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1727. Full description at Econpapers || Download paper | |
| 2017 | Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731. Full description at Econpapers || Download paper | |
| 2016 | Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16. Full description at Econpapers || Download paper | |
| 2017 | Using 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. Full description at Econpapers || Download paper | |
| 2016 | UK term structure decompositions at the zero lower bound.. (2016). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, E. In: Working papers. RePEc:bfr:banfra:589. Full description at Econpapers || Download paper | |
| 2016 | Intraday dynamics of euro area sovereign credit risk contagion. (2016). Komarek, Lubos ; Ters, Kristyna . In: BIS Working Papers. RePEc:bis:biswps:573. Full description at Econpapers || Download paper | |
| 2016 | Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter. (2016). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:584. Full description at Econpapers || Download paper | |
| 2017 | Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets. (2017). Hördahl, Peter ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter ; Gyntelberg, Jacob . In: BIS Working Papers. RePEc:bis:biswps:631. Full description at Econpapers || Download paper | |
| 2017 | Chinas 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. Full description at Econpapers || Download paper | |
| 2017 | SHORT-TERM FORECASTING OF U.S. BUSINESS CYCLE REGIMES USING FACTOR AUGMENTED NEURAL NETWORK MODELS. (2017). Soybilgen, Baris . In: Working Papers. RePEc:bli:wpaper:1703. Full description at Econpapers || Download paper | |
| 2016 | Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model. (2016). Binning, Andrew. In: Working Papers. RePEc:bny:wpaper:0043. Full description at Econpapers || Download paper | |
| 2016 | Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577. Full description at Econpapers || Download paper | |
| 2016 | Tracking the slowdown in long-run GDP growth. (2016). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Bank of England working papers. RePEc:boe:boeewp:0587. Full description at Econpapers || Download paper | |
| 2016 | Macroeconomic tail events with non-linear Bayesian VARs. (2016). Hacioglu Hoke, Sinem ; Chiu, Ching-Wai (Jeremy). In: Bank of England working papers. RePEc:boe:boeewp:0611. Full description at Econpapers || Download paper | |
| 2016 | Leverage dynamics and the burden of debt. (2016). Juselius, John ; Drehmann, Mathias. In: Research Discussion Papers. RePEc:bof:bofrdp:2016_003. Full description at Econpapers || Download paper | |
| 2016 | A shadow rate model with time-varying lower bound of interest rates. (2016). Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_019. Full description at Econpapers || Download paper | |
| 2016 | TIPS: The Trend Inflation Projection System and Estimation Results. (2016). Takahashi, Koji . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp16e18. Full description at Econpapers || Download paper | |
| 2016 | Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox. (2016). Nima, Nonejad . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:1:p:55-90:n:2. Full description at Econpapers || Download paper | |
| 2016 | Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. (2016). Eo, Yunjong. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:211-231:n:6. Full description at Econpapers || Download paper | |
| 2016 | Dating US business cycles with macro factors. (2016). Fossati, Sebastian ; Sebastian, Fossati . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:5:p:529-547:n:4. Full description at Econpapers || Download paper | |
| 2016 | Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2016). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio . In: Working Papers. RePEc:brd:wpaper:75r. Full description at Econpapers || Download paper | |
| 2016 | Joining the Dots: The FOMC and the future path of policy rates. (2016). Stuart, Rebecca ; Gerlach, Stefan . In: Research Technical Papers. RePEc:cbi:wpaper:08/rt/16. Full description at Econpapers || Download paper | |
| 2017 | Separating 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. Full description at Econpapers || Download paper | |
| 2017 | Fat 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. Full description at Econpapers || Download paper | |
| 2016 | Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump. (2016). Kilian, Lutz ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5759. Full description at Econpapers || Download paper | |
| 2016 | Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?. (2016). Helmi, Mohamad ; catik, nazif ; Caporale, Guglielmo Maria ; Ali, Faek Nemla . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5965. Full description at Econpapers || Download paper | |
| 2017 | Predicting 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. Full description at Econpapers || Download paper | |
| 2017 | Testing 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. Full description at Econpapers || Download paper | |
| 2016 | Tracking the Slowdown in Long-Run GDP Growth. (2016). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Discussion Papers. RePEc:cfm:wpaper:1604. Full description at Econpapers || Download paper | |
| 2016 | Estimación de la estructura de tasas de interés en Chile. (2016). Ceballos, Luis ; Mena, Jessica ; Carrasco, Samuel . In: Notas de Investigación Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchni:v:19:y:2016:i:1:p:58-75. Full description at Econpapers || Download paper | |
| 2017 | Stress 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. Full description at Econpapers || Download paper | |
| 2017 | Pruebas 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. Full description at Econpapers || Download paper | |
| 2016 | Identification-robust moment-based tests for Markov-switching in autoregressive models. (2016). Luger, Richard ; Dufour, Jean-Marie . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-63. Full description at Econpapers || Download paper | |
| 2016 | Volatility and a Century of Energy Markets Dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Working Papers. RePEc:clg:wpaper:2016-29. Full description at Econpapers || Download paper | |
| 2017 | Updating the Ultimate Forward Rate over Time: A Possible Approach. (2017). Zigraiova, Diana ; JakubÃk, Petr ; Jakubik, Petr . In: Working Papers. RePEc:cnb:wpaper:2017/03. Full description at Econpapers || Download paper | |
| 2016 | Diplomas y desajuste educativo en Cali a partir de avisos clasificados. (2016). Mora, Jhon ; Carolina, Caicedo ; Cendales, Andres . In: REVISTA LECTURAS DE ECONOMÍA. RePEc:col:000174:015399. Full description at Econpapers || Download paper | |
| 2016 | Risk Premia and Seasonality in Commodity Futures. (2016). Sola, Martin ; Petrella, Ivan ; Hevia, Constantino . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11169. Full description at Econpapers || Download paper | |
| 2016 | Joining the dots: The FOMC and the future path of policy rates. (2016). Stuart, Rebecca ; Gerlach, Stefan . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11618. Full description at Econpapers || Download paper | |
| 2017 | Dissecting US recoveries. (2017). Gómez-Loscos, Ana ; Perez-Quiros, Gabriel ; Gadea, Maria Dolores . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11997. Full description at Econpapers || Download paper | |
| 2016 | Measuring and Explaining Cross-Country Immigration Policies. (2016). Ruyssen, Ilse ; Rayp, Glenn ; Standaert, Samuel . In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2016015. Full description at Econpapers || Download paper | |
| 2016 | What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis. (2016). Min, Hong-Ghi ; Shin, Sang-Ook ; McDonald, Judith A. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2016:v:17:i:2:min. Full description at Econpapers || Download paper | |
| 2017 | Revisiting 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2016 | Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?. (2016). Menla Ali, Faek ; Helmi, Mohamad ; catik, nazif ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1588. Full description at Econpapers || Download paper | |
| 2017 | Testing 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. Full description at Econpapers || Download paper | |
| 2016 | Necessity as the mother of invention monetary policy after the crisis. (2016). Jansen, David-Jan ; Ehrmann, Michael ; de Haan, Jakob ; Blinder, Alan. In: DNB Working Papers. RePEc:dnb:dnbwpp:525. Full description at Econpapers || Download paper | |
| 2017 | Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-23. Full description at Econpapers || Download paper | |
| 2017 | Synchronization 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. Full description at Econpapers || Download paper | |
| 2017 | Exploring the nexus between Stock prices and Macroeconomic shocks: Panel VAR approach. (2017). el Abed, Riadh . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00712. Full description at Econpapers || Download paper | |
| 2017 | Optimal Mix of the Extended Nelson Siegel Model for Turkish Sovereign Yield Curve. (2017). Küçüksaraç, Doruk ; Kucuksarac, Doruk ; Cepni, Oguzhan . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00107. Full description at Econpapers || Download paper | |
| 2016 | An inflation-predicting measure of the output gap in the euro area. (2016). Lenza, Michele ; Jarociński, Marek ; Jarociski, Marek . In: Working Paper Series. RePEc:ecb:ecbwps:20161966. Full description at Econpapers || Download paper | |
| 2017 | How to predict financial stress? An assessment of Markov switching models. (2017). Klaus, Benjamin ; Duprey, Thibaut. In: Working Paper Series. RePEc:ecb:ecbwps:20172057. Full description at Econpapers || Download paper | |
| 2016 | Examining the Causal Linkages among Domestic Investment, FDI, Trade, Interest Rate and Economic Growth in ASEAN-5 Countries. (2016). TANG, Chor Foon. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-29. Full description at Econpapers || Download paper | |
| 2016 | The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility. (2016). Hamzaoui, Nessrine ; Regaieg, Boutheina . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-42. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Relations between Stock Price and Exchange Rate: Evidence from South Asia. (2017). Ali, Mostafa ; Sun, Gang . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-44. Full description at Econpapers || Download paper | |
| 2017 | Can Inflation be Claimed as a Monetary Phenomenon? The Malaysian Experience. (2017). Ozturk, Ilhan ; Tang, Chor Foon . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-59. Full description at Econpapers || Download paper | |
| 2016 | Fiscal Sustainability in EMU contries: A continued Fiscal commitment?. (2016). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan . In: Working Papers. RePEc:eec:wpaper:1608. Full description at Econpapers || Download paper | |
| 2016 | Forecasting the term structure of crude oil futures prices with neural networks. (2016). BarunÃk, Jozef ; Barunik, Jozef ; Malinska, Barbora . In: Applied Energy. RePEc:eee:appene:v:164:y:2016:i:c:p:366-379. Full description at Econpapers || Download paper | |
| 2016 | Skewness and kurtosis of multivariate Markov-switching processes. (2016). Rossi, Alessandro ; Planas, Christophe ; Fiorentini, Gabriele. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159. Full description at Econpapers || Download paper | |
| 2016 | Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57. Full description at Econpapers || Download paper | |
| 2016 | Spectral approach to parameter-free unit root testing. (2016). Bailey, Natalia ; Giraitis, Liudas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:4-16. Full description at Econpapers || Download paper | |
| 2016 | Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466. Full description at Econpapers || Download paper | |
| 2016 | Bayesian model selection for unit root testing with multiple structural breaks. (2016). Vosseler, Alexander . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:616-630. Full description at Econpapers || Download paper | |
| 2016 | A bootstrap approximation for the distribution of the Local Whittle estimator. (2016). Arteche, Josu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:645-660. Full description at Econpapers || Download paper | |
| 2016 | Moment Ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors. (2016). McCulloch, Huston J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:712-733. Full description at Econpapers || Download paper | |
| 2016 | Predicting the yield curve using forecast combinations. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:79-98. Full description at Econpapers || Download paper | |
| 2016 | Learning and the dynamics of consumer unsecured debt and bankruptcies. (2016). Neumuller, Seth ; Luzzetti, Matthew N. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:67:y:2016:i:c:p:22-39. Full description at Econpapers || Download paper | |
| 2016 | A tale of two correlations: Evidence and theory regarding the phase shift between the price level and output. (2016). Haslag, Joseph ; Brock, William. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:67:y:2016:i:c:p:40-57. Full description at Econpapers || Download paper | |
| 2016 | Asset prices with non-permanent shocks to consumption. (2016). Schmedders, Karl ; Pohl, Walt ; Wilms, Ole . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:69:y:2016:i:c:p:152-178. Full description at Econpapers || Download paper | |
| 2016 | Testing for time variation in an unobserved components model for the U.S. economy. (2016). Vierke, Hauke ; Everaert, Gerdie ; Berger, Tino . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:69:y:2016:i:c:p:179-208. Full description at Econpapers || Download paper | |
| 2016 | Information rigidities and the news-adjusted output gap. (2016). Lee, Kevin ; Garratt, Anthony ; Shields, Kalvinder . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:1-17. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Charles R. Nelson:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1972 | The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy. In: American Economic Review. [Full Text][Citation analysis] | article | 34 |
| 1974 | The Stochastic Structure of the Velocity of Money. In: American Economic Review. [Full Text][Citation analysis] | article | 7 |
| 1977 | Short-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] | article | 67 |
| 1989 | The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal. [Full Text][Citation analysis] | article | 3 |
| 2005 | Welfare 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] | paper | 3 |
| 2001 | Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 47 |
| 2000 | Markov regime-switching and unit root tests.(2000) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 2001 | Markov regime switching and unit root tests.(2001) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 2004 | The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 94 |
| 2001 | The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2001) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
| 2003 | The 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: 94 | paper | |
| 2005 | The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 26 |
| 1984 | Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 55 |
| 1983 | Pitfalls in the use of Time as an Explanatory Variable in Regression.(1983) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | paper | |
| 1985 | The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 2 |
| 1989 | The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 21 |
| 1976 | Inflation and Rates of Return on Common Stocks. In: Journal of Finance. [Full Text][Citation analysis] | article | 111 |
| 1976 | Inflation and Capital Budgeting. In: Journal of Finance. [Full Text][Citation analysis] | article | 3 |
| 1993 | Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance. [Full Text][Citation analysis] | article | 201 |
| Nelson_Plosser In: Instructional Stata datasets for econometrics. [Full Text][Citation analysis] | paper | 0 | |
| 2007 | Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2007 | Spurious 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: 9 | paper | |
| 1988 | Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 19 |
| 1986 | Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2006 | BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 7 |
| 2006 | Business-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 | |
| 1972 | Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates. In: Econometrica. [Full Text][Citation analysis] | article | 4 |
| 1981 | Spurious Periodicity in Inappropriately Detrended Time Series. In: Econometrica. [Full Text][Citation analysis] | article | 128 |
| 1979 | Spurious 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: 128 | paper | |
| 1990 | Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica. [Full Text][Citation analysis] | article | 184 |
| 1988 | SOME 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: 184 | paper | |
| 1988 | Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator.(1988) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 184 | paper | |
| 1988 | SOME 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: 184 | paper | |
| 2004 | Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] | paper | 2 |
| 2007 | Earnings 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 | |
| 2004 | The Zero-Information-Limit Condition and Spurious Inference In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 1 |
| 2000 | Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 149 |
| 2000 | Why 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] This paper has another version. Agregated cites: 149 | paper | |
| 2000 | Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 149 | paper | |
| 2002 | Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 149 | paper | |
| 2003 | Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?.(2003) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 149 | paper | |
| 2000 | Improved Inference for the Instrumental Variables Estimator In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 12 |
| 1999 | Improved Inference for the Instrumental Variable Estimator.(1999) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1999 | Improved Inference for the Instrumental Variable Estimator.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1999 | Improved Inference for the Instrumental Variable Estimator.(1999) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1979 | Discussion of the Zellner and Schwert papers In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 1 |
| 1985 | Macroeconomic time-series, business cycles, and macroeconomic policies A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 1 |
| 1988 | Spurious 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] | article | 15 |
| 1987 | Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root.(1987) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 1979 | Hypothesis testing based on goodness-of-fit in the moving average time series model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2007 | The zero-information-limit condition and spurious inference in weakly identified models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2004 | The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2007 | The 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: 16 | paper | |
| 2008 | The Beveridge-Nelson decomposition in retrospect and prospect In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 2006 | The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 1974 | The first-order moving average process : Identification, estimation and prediction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 1976 | Gains in efficiency from joint estimation of systems of autoregressive-moving average processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 28 |
| 1998 | Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 63 |
| 1998 | Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 30 |
| 2001 | Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 2000 | Does 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] This paper has another version. Agregated cites: 8 | paper | |
| 1999 | Does 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] This paper has another version. Agregated cites: 8 | paper | |
| 2000 | Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1999 | Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1989 | A Markov model of heteroskedasticity, risk, and learning in the stock market In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 162 |
| 1989 | A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
| 1982 | Trends and random walks in macroeconmic time series : Some evidence and implications In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 1384 |
| 2000 | The uncertain trend in U.S. GDP In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 66 |
| 1998 | The Uncertain Trend in U.S. GDP.(1998) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 1997 | The Uncertain Trend in U.S. GDP..(1997) In: Discussion Papers in Economics at the University of Washington. [Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 1998 | The Uncertain Trend in U.S. GDP.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 1997 | The Uncertain Trend in U.S. GDP..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 1997 | The Uncertain Trend in U.S. GDP.(1997) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 1978 | The stochastic properties of velocity and the quantity theory of money In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 2 |
| 2006 | Estimation 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] | article | 61 |
| 2007 | New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 39 |
| 1981 | A 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] | article | 562 |
| 1976 | Recursive structure in U.S. income, prices and output In: Proceedings. [Citation analysis] | article | 5 |
| 1979 | Recursive Structure in U.S. Income, Prices, and Output..(1979) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 1979 | Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon In: Proceedings. [Citation analysis] | article | 0 |
| 2000 | Output fluctuations in the United States: what has changed since the early 1980s? comments In: Proceedings. [Full Text][Citation analysis] | article | 9 |
| 1994 | Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) In: Review. [Full Text][Citation analysis] | article | 0 |
| 2003 | Business cycle detrending of macroeconomic data via a latent business cycle index In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | The Great Depression and Output Persistence In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 8 |
| 2002 | The Great Depression and Output Persistence..(2002) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2000 | The Great Depression and Output Persistence.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2000 | State-Space Modeling of the Relationship Between Air Quality and Mortality In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 1 |
| 2000 | State-Space Modeling of the Relationship Between Air Quality and Mortality.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2000 | Is 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] | paper | 36 |
| 2004 | Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2000 | Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2000 | Is There a Structural Break in the Equity Premium? In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1999 | A 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] | paper | 20 |
| 1998 | A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2001 | A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models..(2001) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 1999 | A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 1998 | A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 1999 | Unit Root Tests in the Presence of Markov Regime-Switching In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 4 |
| 1999 | Unit Root Tests in the Presence of Markov Regime-Switching.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 1988 | THE 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] | paper | 191 |
| 1988 | The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One.(1988) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | paper | |
| 1990 | The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One..(1990) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | article | |
| 1988 | THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE..(1988) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 191 | paper | |
| 1988 | THE 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] | paper | 2 |
| 1988 | THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS..(1988) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1988 | MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 7 |
| 1988 | MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE..(1988) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 1989 | THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 129 |
| 1989 | THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
| 1989 | GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 0 |
| 1989 | GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987..(1989) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1990 | PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 2 |
| 1990 | Predictable Stock Returns: Reality or Statistical Illusion?.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1990 | PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?..(1990) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1990 | More 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. [Citation analysis] | paper | 0 |
| 1990 | More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong..(1990) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1996 | Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 0 |
| 1996 | Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1996 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 37 |
| 1997 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Discussion Papers in Economics at the University of Washington. [Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 1998 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1998) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 37 | article | |
| 1996 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1996) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 1997 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 1996 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 1997 | Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 57 |
| 1999 | Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 57 | article | |
| 1997 | Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
| 1997 | Testing 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. [Citation analysis] | paper | 0 |
| 1997 | Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1975 | Rational Expectations and the Estimation of Econometric Models. In: International Economic Review. [Full Text][Citation analysis] | article | 4 |
| 2010 | Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components In: Economics Series. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2007 | Expectation horizon and the Phillips Curve: the solution to an empirical puzzle In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 26 |
| 1981 | Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 1 |
| 1981 | Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 1 |
| 1982 | Comment on Policy Robustness: Specification and Simulation of a Monthly Money Market Model. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 0 |
| 2004 | The Great Depression and Output Persistence: A Reply to Papell and Prodan. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 4 |
| 1975 | The 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. [Full Text][Citation analysis] | article | 13 |
| 1999 | State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications In: MIT Press Books. [Citation analysis] | book | 559 |
| 1988 | The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 1985 | Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1985 | A Reappraisal of Recent Tests of the Permanent Income Hypothesis In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 1987 | Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence In: NBER Working Papers. [Full Text][Citation analysis] | paper | 121 |
| 2007 | Sleep and psychological well-being In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. [Full Text][Citation analysis] | article | 5 |
| 1998 | Book reviews In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 1998 | Business 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. [Full Text][Citation analysis] | article | 139 |
| 1999 | Has 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. [Full Text][Citation analysis] | article | 319 |
| 2003 | Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 144 |
| 1975 | Rational Expectations and the Predictive Efficiency of Economic Models. In: The Journal of Business. [Full Text][Citation analysis] | article | 10 |
| 1987 | Parsimonious Modeling of Yield Curves. In: The Journal of Business. [Full Text][Citation analysis] | article | 616 |
| 1970 | A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 0 |
| 1972 | Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 0 |
| 1979 | Granger Causality and the Natural Rate Hypothesis. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 2 |
| 1987 | A 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. [Full Text][Citation analysis] | article | 0 |
| 1996 | Valid Confidence Regions and Inference in the Presence of Weak Instruments In: Working Papers. [Citation analysis] | paper | 0 |
| 1996 | Valid Confidence Regions and Inference in the Presence of Weak Instruments.(1996) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2006 | A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds In: Working Papers. [Citation analysis] | paper | 0 |
| 2008 | Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2006 | A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
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