Charles R. Nelson
Names
first: 
Charles 
middle: 
R. 
last: 
Nelson 
Contact
Affiliations

University of Washington
→ Department of Economics
 website
 location: Seattle, Washington (United States)
Research profile
author of:

BUSINESSCYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESSCYCLE INDEX
by DUEKER, MICHAEL & NELSON, CHARLES R.

Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
by Kim, ChangJin & Morley, James C. & Nelson, Charles R.

Unit Root Tests in the Presence of Markov RegimeSwitching
by Charles Nelson & Jeremy Piger & Eric Zivot

Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on GibbsSamplingAugmented Randomization.
by Kim, C.J. & Nelson, C.R.

GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987.
by NELSON, C. R.

The stochastic properties of velocity and the quantity theory of money
by Gould, J. P. & Miller, M. H. & Nelson, C. R. & Upton, C. W.

Testing a Model of the Term Structure of Interest Rates in an Errorlearning Framework.
by Nelson, Charles R.

Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
by Nelson, C. R. & Startz, R. & Zivot, E.

The Uncertain Trend in U.S. GDP.
by Nelson, C.R. & Murray, C.J.

Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
by Zivot, Eric & Startz, Richard & Nelson, Charles R.

Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework
by Taheripour, Farzad & Khanna, Madhu & Nelson, Charles

The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts.
by Nelson, Charles R. & Peck, Stephen C.

Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
by Ma Jun & Nelson Charles R. & Startz Richard

Why are stock returns and volatility negatively correlated?
by Bae, Jinho & Kim, ChangJin & Nelson, Charles R.

The Great Depression and Output Persistence
by Christian J. Murray & Charles Nelson

The TimeVaryingParameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis
by Charles R. Nelson & ChangJin Kim

GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987.
by NELSON, C. R.

Is There a Structural Break in the Equity Premium?
by ChangJin Kim & James C. Morley & Charles Nelson

Improved Inference for the Instrumental Variables Estimator
by Charles Nelson & Richard Startz & Eric Zivot

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
by ChangJin Kim & Charles Nelson

The Uncertain Trend in U.S. GDP
by Chris Murray & Charles Nelson

Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
by Ma, Jun & Nelson, Charles R.

Testing for Men reversion in Heteroskedastic data Based on GibbsSimplingAugmented Randomization.
by Kim, C. J. & Nelson, C. R. & Startz, R.

PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?.
by NELSON, C. R. & KIM, M. J.

The TimeVaryingParameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis.
by Kim, ChangJin & Nelson, Charles R.

Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A MarkovSwitching Model Of The Business Cycle
by ChangJin Kim & Charles R. Nelson

Granger Causality and the Natural Rate Hypothesis.
by Nelson, Charles R.

Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
by Kim, ChangJin & Morley, James C. & Nelson, Charles R.

Spurious Periodicity in Inappropriately Detrended Time Series.
by Nelson, Charles R. & Kang, Heejoon

Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
by Zivot, E. & Startz, R. & Nelson, C.R.

StateSpace Models with Regime Switching: Classical and GibbsSampling Approaches with Applications
by ChangJin Kim & Charles R. Nelson

Improved Inference for the Instrumental Variable Estimator
by Richard Startz & Charles Nelson & Eric Zivot

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
by Myung Jig Kim & Charles R. Nelson & Richard Startz

More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong.
by Nelson, C. R. & Startz, R.

Improved Inference for the Instrumental Variable Estimator
by Richard Startz & Charles Nelson & Eric Zivot

Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
by Zivot, E. & Startz, R. & Nelson, C.R.

Rational Expectations and the Predictive Efficiency of Economic Models.
by Nelson, Charles R.

Valid Confidence Intervals and Inference in the Presence of Weak Instruments
by Charles R. Nelson & Richard Startz & Eric Zivot

Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbssamplingaugmented randomization1
by Kim, ChangJin & Nelson, Charles R.

Expectation horizon and the Phillips Curve: the solution to an empirical puzzle
by Charles R. Nelson & Jaejoon Lee

Why are BeveridgeNelson and UnobservedComponent Decompositions of GDP so Different?
by Charles Nelson & Eric Zivot

A Reappraisal of Recent Tests of the Permanent Income Hypothesis
by Charles R. Nelson

Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
by Charles R. Nelson

Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon
by Charles R. Nelson

Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components.
by Kim, ChangJin & Nelson, Charles R.

Discussion of the Zellner and Schwert papers
by Nelson, Charles R.

THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET.
by TURNER, C. M. & STARTZ, R. & NELSON, C. R.

Comment on "Policy Robustness: Specification and Simulation of a Monthly Money Market Model".
by Nelson, Charles R.

The zeroinformationlimit condition and spurious inference in weakly identified models
by Nelson, Charles R. & Startz, Richard

Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
by Jun Ma & Charles R. Nelson

A TimeVarying Parameter Model for a ForwardLooking Monetary Policy Rule Based on RealTime Data
by Changjin Kim & N. Kundan Kishor & Charles R. Nelson

The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations
by ChangJin Kim & Charles R. Nelson & Jeremy M. Piger

THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS TRATIO WHEN THE INSTRUMENT IS A POOR ONE.
by NELSON, C. & STARTZ, R.

The Uncertain Trend in U.S. GDP
by Chris Murray & Charles Nelson

Why Are BeveridgeNelson and UnobservedComponent Decompositions of GDP So Different?
by James C. Morley & Charles Nelson & Eric Zivot

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'
by Beveridge, Stephen & Nelson, Charles R.

Estimation of a forwardlooking monetary policy rule: A timevarying parameter model using ex post data
by Kim, ChangJin & Nelson, Charles R.

Business cycle detrending of macroeconomic data via a latent business cycle index
by Michael J. Dueker & Charles R. Nelson

BusinessCycle Filtering of Macroeconomic Data Via A Latent BusinessCycle Index
by Michael Dueker & Charles Nelson

The Stochastic Structure of the Velocity of Money.
by Gould, John P. & Nelson, Charles R.

The uncertain trend in U.S. GDP
by Murray, Christian J. & Nelson, Charles R.

Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?
by Bae, Jinho & Nelson, Charles R.

Parsimonious Modeling of Yield Curves.
by Nelson, Charles R. & Siegel, Andrew F.

Why Are the BeveridgeNelson and UnobservedComponents Decompositions of GDP So Different?
by James C. Morley & Charles R. Nelson & Eric Zivot

Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
by Charles R. Nelson & Richard Startz

Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP
by Charles R. Nelson

PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?.
by NELSON, C. R. & KIM, M. J.

Is There a Structural Break in the Equity Premium?
by ChangJin Kim & James C. Morley & Charles Nelson

The Uncertain Trend in U.S. GDP
by Charles Nelson & Christian Murray

Improved Inference for the Instrumental Variable Estimator
by Richard Startz & Charles Nelson & Eric Zivot

LongTerm Behavior of Yield Curves
by Siegel, Andrew F. & Nelson, Charles R.

The BeveridgeNelson Decomposition in Retrospect and Prospect
by Charles R. Nelson

The Ex Ante Prediction Performance of the St. Louis and FRBMITPENN Econometric Models and Some Results on Composite Predictors.
by Cooper, J. Phillip & Nelson, Charles R.

More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong.
by Nelson, C. R. & Startz, R.

Predictable Stock Returns: Reality or Statistical Illusion?
by Charles R. Nelson & Myung J. Kim

Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components.
by Kim, C.J. & Nelson, C.R.

A Reappraisal of Recent Tests of the Permanent Income Hypothesis [Stochastic Implications of the Life CyclePermanent Income Hypothesis: Theory and Evidence].
by Nelson, Charles R.

MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE.
by KIM, M. J. & NELSON, C. R. & STARTZ, R.

The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations
by ChangJin Kim & Charles R. Nelson & Jeremy M. Piger

A General Approach to Constructing a Valid Test in Weakly Identified Models Where ZeroLimitInformation Condition (ZILC) Holds
by Jun Ma & Charles Nelson

Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
by Charles R. Nelson & Andrew F. Siegel

The Great Depression and Output Persistence
by Christian J. Murray & Charles Nelson

Testing for mean reversion in heteroskedastic data based on Gibbssamplingaugmented randomization1
by Kim, ChangJin & Nelson, Charles R. & Startz, Richard

A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment.
by Nelson, Charles R.

Valid Confidence Regions and Inference in the Presence of Weak Instruments
by Eric Zivot & Charles R. Nelson & Richard Startz

StateSpace Modeling of the Relationship Between Air Quality and Mortality
by Christian J. Murray & Charles Nelson

Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified
by Jun Ma & Charles Nelson & Richard Startz

Pitfalls in the use of Time as an Explanatory Variable in Regression
by Charles R. Nelson & Heejoon Kang

The firstorder moving average process : Identification, estimation and prediction
by Nelson, Charles R.

Recursive structure in U.S. income, prices and output
by Charles R. Nelson

Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching
by ChangJin Kim & Charles R. Nelson

Macroeconomic timeseries, business cycles, and macroeconomic policies A comment
by Nelson, Charles R.

THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS TRATIO WHEN THE INSTRUMENT IS A POOR ONE.
by NELSON, C. & STARTZ, R.

Book reviews
by Charles Nelson

ShortTerm Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant.
by Nelson, Charles R. & Schwert, G. William

Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?
by ChangJin Kim & Yunmi Kim & Charles R. Nelson

Rational Expectations and the Estimation of Econometric Models.
by Nelson, Charles R.

The Distribution of the Instrumental Variables Estimator and Its tRatio When the Instrument Is a Poor One.
by Nelson, Charles R. & Startz, Richard

Gains in efficiency from joint estimation of systems of autoregressivemoving average processes
by Nelson, Charles R.

Why Are BeveridgeNelson and UnobservedComponent Decompositions of GDP So Different?
by James C. Morley & Charles Nelson & Eric Zivot

SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR.
by NELSON, C. & STARTZ, R.

The Structural Break in the Equity Premium
by Kim, ChangJin & Morley, James C. & Nelson, Charles R.

THE TIMEVARYINGPARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS.
by NELSON, C. R. & KIM, C.J.

Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?
by ChangJin Kim & James C. Morley & Charles Nelson

Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?
by Charles R. Nelson & Jinho Bae

The Great Depression and Output Persistence: A Reply to Papell and Prodan.
by Murray, Christian J. & Nelson, Charles R.

Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
by ChangJin Kim & James C. Morley & Charles Nelson

The Distribution of the Instrumental Variables Estimator and Its tRatioWhen the Instrument is a Poor One
by Charles R. Nelson & Richard Startz

Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply.
by Nelson, Charles R.

The LessVolatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations.
by Kim, ChangJin & Nelson, Charles R. & Piger, Jeremy

SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR.
by NELSON, C. & STARTZ, R.

The Great Depression and Output Persistence.
by Murray, Christian J. & Nelson, Charles R.

Inflation and Capital Budgeting.
by Nelson, Charles R.

Sleep and psychological wellbeing
by N. Hamilton & C. Nelson & N. Stevens & Heather Kitzman

Spurious trend and cycle in the state space decomposition of a time series with a unit root
by Nelson, Charles R.

Testing for Men reversion in Heteroskedastic data Based on GibbsSimplingAugmented Randomization.
by Kim, C. J. & Nelson, C. R. & Startz, R.

Why are BeveridgeNelson and Unobservedcomponent decompositions of GDP so Different?
by James Morley & Charles Nelson & Eric Zivot

Why Are BeveridgeNelson and UnobservedComponent Decompositions of GDP So Different?
by James Morley & Charles Nelson & Eric Zivot

The ZeroInformationLimitCondition and Spurious Inference in Weakly Identified Models
by Charles Nelson & Richard Startz

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
by ChangJin Kim & Charles Nelson

Inflation and Rates of Return on Common Stocks.
by Nelson, Charles R.

Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator.
by Nelson, Charles R. & Startz, Richard

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
by ChangJin Kim & Charles Nelson

Recursive Structure in U.S. Income, Prices, and Output.
by Nelson, Charles R.

Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon.
by Nelson, Charles R.

A Markov model of heteroskedasticity, risk, and learning in the stock market
by Turner, Christopher M. & Startz, Richard & Nelson, Charles R.

Unit Root Tests in the Presence of Markov RegimeSwitching
by Charles Nelson & Jeremy Piger & Eric Zivot

Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
by ChangJin Kim & James C. Morley & Charles Nelson

A Bayesian Approach to Testing for MarkovSwitching in Univariate and Dynamic Factor Models.
by Kim, ChangJin & Nelson, Charles R.

Nelson_Plosser
by Nelson, Charles R. & Plosser, Charles I.

Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
by ChangJin Kim & James C. Morley & Charles Nelson

Markov Regime Switching and UnitRoot Tests.
by Nelson, Charles R. & Piger, Jeremy & Zivot, Eric

Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components.
by Kim, C.J. & Nelson, C.R.

Markov regimeswitching and unit root tests
by Charles R. Nelson & Jeremy M. Piger & Eric Zivot

Predictable Stock Returns: The Role of Small Sample Bias.
by Nelson, Charles R. & Kim, Myung J.

The Prediction Performance of the FRBMITPENN Model of the U.S. Economy.
by Nelson, Charles R.

The Uncertain Trend in U.S. GDP.
by Nelson, C.R. & Murray, C.J.

Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
by Nelson, C. R. & Startz, R. & Zivot, E.

The NERC Fan in Retrospect and Lessons for the Future
by Charles R. Nelson & Stephen C. Peck & Robert G. Uhler

Pitfalls in the Use of Time as an Explanatory Variable in Regression.
by Nelson, Charles R. & Kang, Heejoon

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
by Christopher M. Turner & Richard Startz & Charles R. Nelson

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
by ChangJin Kim & Charles Nelson

Hypothesis testing based on goodnessoffit in the moving average time series model
by Nelson, Charles R. & Shea, Gary S.

New measures of the output gap based on the forwardlooking new Keynesian Phillips curve
by Basistha, Arabinda & Nelson, Charles R.

Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates.
by Nelson, Charles R.

Trends and random walks in macroeconmic time series : Some evidence and implications
by Nelson, Charles R. & Plosser, Charles I.

LongTerm Behavior of Yield Curves
by Charles R. Nelson & Andrew F. Siegel

Valid Confidence Regions and Inference in the Presence of Weak Instruments
by Eric Zivot & Charles R. Nelson & Richard Startz

The BeveridgeNelson decomposition in retrospect and prospect
by Nelson, Charles R.

Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
by ChangJin Kim & James C. Morley & Charles Nelson

Empirical evidence on the recent behavior and usefulness of simplesum and weighted measures of the money stock (commentary)
by Charles R. Nelson

The ZeroInformationLimit Condition and Spurious Inference
by Richard Startz & Charles R. Nelson

Output fluctuations in the United States: what has changed since the early 1980s? comments
by Charles R. Nelson

Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on GibbsSamplingAugmented Randomization.
by Kim, C.J. & Nelson, C.R.

MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE.
by KIM, M. J. & NELSON, C. R. & STARTZ, R.

StateSpace Modeling of the Relationship Between Air Quality and Mortality
by Christian J. Murray & Charles Nelson

Spurious Periodicity in Inappropriately Detrended Time Series
by Nelson, Charles R. & Kang, Heejoon

THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET.
by TURNER, C. M. & STARTZ, R. & NELSON, C. R.

The ZeroInformationLimit Condition and Spurious Inference in Weakly Identified Models
by Charles Nelson & Richard Startz

Markov regime switching and unit root tests
by Charles R. Nelson & Jeremy M. Piger & Eric Zivot

THE TIMEVARYINGPARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS.
by NELSON, C. R. & KIM, C.J.

Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?
by ChangJin Kim & James C. Morley & Charles Nelson

Empirical evidence on the recent behavior and usefulness of simplesum and weighted measures of the money stock (commentary)
by Charles R. Nelson

Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
by Kim, ChangJin & Manopimoke, Pym & Nelson, Charles

Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
by CHANG‐JIN KIM & PYM MANOPIMOKE & CHARLES R. NELSON

Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
by ChangJin Kim & Pym Manopimoke & Charles R. Nelson

Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?
by Yunmi Kim & Charles R. Nelson

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
by Myung Jig Kim & Charles R. Nelson & Richard Startz

SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES
by Nelson, Charles R. & Kang, Heejoon

Implict Estimates of the Natural and Cyclical Components of Japan's Real GNP
by Charles R. Nelson