Charles R. Nelson

Overview

Best Publications

• Trends and random walks in macroeconmic time series: Some evidence and implications

  Charles R. Nelson;Charles R. Plosser

  8390
  Citations

• Parsimonious modeling of yield curves

  Charles R. Nelson;Andrew F. Siegel

  4473
  Citations

• A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’☆

  Stephen Beveridge;Charles R. Nelson

  3396
  Citations

• State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications

  Chang-Jin Kim;Charles R. Nelson

  1843
  Citations

• HAS THE U.S. ECONOMY BECOME MORE STABLE? A BAYESIAN APPROACH BASED ON A MARKOV-SWITCHING MODEL OF THE BUSINESS CYCLE

  Chang Jin Kim;Charles R. Nelson

  1634
  Citations

• SOME FURTHER RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR

  Charles R. Nelson;Richard Startz

  1293
  Citations

• Applied Time Series Analysis for Managerial Forecasting

  Charles R. Nelson

  1000
  Citations

• INFLATION AND RATES OF RETURN ON COMMON STOCKS

  Charles R. Nelson

  997
  Citations

• A Markov model of heteroskedasticity, risk, and learning in the stock market☆

  Christopher M. Turner;Richard Startz;Charles R. Nelson

  970
  Citations

• Mean reversion in stock prices? a reappraisal of the empirical evidence

  Myung Jig Kim;Charles R. Nelson;Richard Startz

  786
  Citations

• Predictable Stock Returns: The Role of Small Sample Bias

  Charles R. Nelson;Myung J. Kim

  758
  Citations

• The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One

  Charles R. Nelson;Richard Startz

  753
  Citations

• Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching

  Chang Jin Kim;Charles R. Nelson

  693
  Citations

• Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?

  James C. Morley;Charles R. Nelson;Eric Zivot

  674
  Citations

• Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator

  Charles R. Nelson;Richard Startz

  647
  Citations

• Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis that the Real Rate of Interest is Constant

  Charles R. Nelson;G. William Schwert

  622
  Citations

• Spurious Periodicity in Inappropriately Detrended Time Series

  Charles R. Nelson;Heejoon Kang

  620
  Citations

• The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations

  Chang-Jin Kim;Charles R. Nelson;Jeremy M. Piger

  497
  Citations

• The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy

  Charles R Nelson

  453
  Citations

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

  Charles R. Nelson;Heejoon Kang

  435
  Citations

• Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?

  James C. Morley;Charles Nelson;Eric Zivot

  108
  Citations