Charles R. Nelson

Dept of Economics

Professor of Economics

Box 353330

Seattle, WA 98195-3330

United States

SCHOLARLY PAPERS

25

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Top 16,214

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3,907

SSRN CITATIONS
Rank 1,123

SSRN RANKINGS

Top 1,123

in Total Papers Citations

351

CROSSREF CITATIONS

731

Scholarly Papers (25)

1.

Why are Stock Returns and Volatility Negatively Correlated?

Number of pages: 42 Posted: 23 Sep 2004
Jinho Bae, Chang-Jin Kim and Charles R. Nelson
Konkuk University, Dept. of Economics, University of Washington and Dept of Economics
Downloads 648 (51,700)
Citation 7

Abstract:

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Asymmetric volatility, volatility reedback, leverage effect, regime switching, GARCH

2.

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

Number of pages: 16 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 353 (107,454)
Citation 7

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3.

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

Number of pages: 28 Posted: 28 Apr 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 306 (125,626)
Citation 19

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4.

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

Number of pages: 40 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 301 (127,864)
Citation 180

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5.

Markov Regime-Switching and Unit Root Tests

Number of pages: 33 Posted: 12 Dec 2000
Charles R. Nelson, Jeremy Piger and Eric Zivot
Dept of Economics, University of Oregon - Department of Economics and University of Washington - Department of Economics
Downloads 268 (144,317)
Citation 4

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stochastic trends, deterministic trends, structural change, heteroskedasticity, unit root tests, and markov switching

6.

The Uncertain Trend in U.S. GDP

Number of pages: 28 Posted: 03 Jun 1997
Charles R. Nelson and Christian J. Murray
Dept of Economics and University of Houston - Department of Economics
Downloads 259 (149,292)
Citation 5

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7.

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

Number of pages: 34 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 248 (155,903)
Citation 2

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8.

Spurious Inference in the Garch(1,1) Model When it is Weakly Identified

Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 1, 2007
Number of pages: 28 Posted: 07 Jun 2006
Jun Ma, Charles R. Nelson and Richard Startz
Northeastern University - Department of Economics, Dept of Economics and UCSB
Downloads 229 (168,332)

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weak identification, GARCH, conditional heteroskedasticity

9.

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

Number of pages: 22 Posted: 22 Oct 2004
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 192 (198,259)
Citation 25

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Endogeneity, Forward-Looking Monetary Policy, Heteroscedasticity, Nonlinearity, Time-Varying Parameter Model

10.

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

NBER Working Paper No. w2795
Number of pages: 39 Posted: 16 Jun 2004 Last Revised: 21 Feb 2021
Myung Jig Kim, Charles R. Nelson and Richard Startz
Hanyang University, Dept of Economics and UCSB
Downloads 183 (206,956)
Citation 9

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11.

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

Number of pages: 39 Posted: 21 Oct 2004
Jinho Bae and Charles R. Nelson
Konkuk University and Dept of Economics
Downloads 165 (226,102)
Citation 1

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Irrational exuberance, New Economy, Earnings growth, Bull market

12.

The Less Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth and Potential Explanations

Number of pages: 48 Posted: 27 Aug 2001
Chang-Jin Kim, Charles R. Nelson and Jeremy Piger
Dept. of Economics, University of Washington, Dept of Economics and University of Oregon - Department of Economics
Downloads 103 (323,273)
Citation 20

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volatility reduction, stabilization, structural break, Bayesian

13.

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

NBER Working Paper No. w2818
Number of pages: 31 Posted: 09 Mar 2004 Last Revised: 15 Sep 2021
Christopher M. Turner, Richard Startz and Charles R. Nelson
Black Rock Financial Management, Inc., UCSB and Dept of Economics
Downloads 94 (342,814)
Citation 10

Abstract:

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14.

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

NBER Working Paper No. w1594
Number of pages: 44 Posted: 22 Jun 2004 Last Revised: 12 May 2021
Charles R. Nelson and Andrew F. Siegel
Dept of Economics and University of Washington - Department of Finance and Business Economics
Downloads 91 (349,960)
Citation 87

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15.

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

Number of pages: 35 Posted: 23 Sep 2008
Jun Ma and Charles R. Nelson
Northeastern University - Department of Economics and Dept of Economics
Downloads 84 (367,687)
Citation 5

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ARMA, Unobserved Components, State Space, GARCH, Zero-Information-Limit-Condition

16.

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

Number of pages: 19 Posted: 09 Feb 2004
Charles R. Nelson and Richard Startz
Dept of Economics and UCSB
Downloads 67 (417,518)
Citation 12

Abstract:

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Weak identification, hypothesis testing

17.

Long-Term Behavior of Yield Curves

NBER Working Paper No. w1789
Number of pages: 10 Posted: 18 Jun 2004 Last Revised: 28 Mar 2010
Charles R. Nelson and Andrew F. Siegel
Dept of Economics and University of Washington - Department of Finance and Business Economics
Downloads 57 (452,510)

Abstract:

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18.

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

NBER Working Paper No. t0030
Number of pages: 41 Posted: 21 Jun 2001 Last Revised: 02 Aug 2021
Charles R. Nelson and Heejoon Kang
Dept of Economics and Indiana University - Kelley School of Business - Department of Business Economics & Public Policy
Downloads 50 (479,695)

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19.

Predictable Stock Returns: Reality or Statistical Illusion?

NBER Working Paper No. w3297
Number of pages: 33 Posted: 31 May 2001 Last Revised: 04 Jan 2021
Charles R. Nelson and Myung Jig Kim
Dept of Economics and Hanyang University
Downloads 41 (519,323)

Abstract:

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20.

The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance: the Case of Lucas Hypothesis

NBER Working Paper No. t0070
Number of pages: 34 Posted: 27 Jun 2007 Last Revised: 12 Sep 2021
Charles R. Nelson and Chang-Jin Kim
Dept of Economics and Dept. of Economics, University of Washington
Downloads 39 (528,888)

Abstract:

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21.

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

NBER Working Paper No. t0063
Number of pages: 22 Posted: 04 Jul 2004 Last Revised: 05 Sep 2021
Charles R. Nelson
Dept of Economics
Downloads 34 (554,585)

Abstract:

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22.

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

NBER Working Paper No. w2253
Number of pages: 30 Posted: 26 Jan 2007 Last Revised: 28 Feb 2021
Charles R. Nelson
Dept of Economics
Downloads 28 (588,785)

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23.

A Reappraisal of Recent Tests of the Permanent Income Hypothesis

NBER Working Paper No. w1687
Number of pages: 18 Posted: 09 Mar 2004 Last Revised: 13 Aug 2021
Charles R. Nelson
Dept of Economics
Downloads 27 (594,963)

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24.

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

NBER Working Paper No. t0069
Number of pages: 24 Posted: 27 Jun 2007 Last Revised: 11 Sep 2021
Charles R. Nelson and Richard Startz
Dept of Economics and UCSB
Downloads 25 (607,969)
Citation 1

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25.

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

NBER Working Paper No. t0068
Number of pages: 18 Posted: 27 Jun 2007 Last Revised: 10 Sep 2021
Charles R. Nelson and Richard Startz
Dept of Economics and UCSB
Downloads 15 (678,857)
Citation 7

Abstract:

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