NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Charles Nelson

Department of Economics
University of Washington
Seattle, WA 93195

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org

NBER Working Papers and Publications

March 1990Predictable Stock Returns: Reality or Statistical Illusion?
with Myung J. Kim: w3297

Published: Published as "Predictable Stock Returns: The Role of Small Sample Bias", JF, Vol. 48, no. 2 (1993): 641-661.

1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
with Christopher M. Turner, Richard Startz: w2818

Published: Journal of Financial Economics, April 1990. citation courtesy of

December 1988Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
with Myung Jig Kim, Richard Startz: w2795

Published: Review of Economic Studies, Vol. 58, No. 195, pp. 515-528, (May 1991). citation courtesy of

September 1988Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
with Richard Startz: t0068

Published: Journal of Business, January 1990.

The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One
with Richard Startz: t0069

Published: Econometrica, April 1990.

The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis
with Chang-Jin Kim: t0070

Published: Journal of Business and Economic Statistics, vol. 7, no. 4, October 1989, pp. 433-440.

November 1987Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
t0063

Published: Journal of Economic Dynamics and Control, vol. 12,no.2/3, June/September 1988, pp475-488.

May 1987Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP
w2253
1986Long-Term Behavior of Yield Curves
with Andrew F. Siegel: w1789

Published: Nelson, Charles R. and Andrew F. Seigel. "Long-Term Behavior of Yield Curves," Journal of Financial and Quantitative Analysis, Vol. 23, No. 1, March 1988, pp. 105-110. citation courtesy of

August 1985A Reappraisal of Recent Tests of the Permanent Income Hypothesis
w1687

Published: Nelson, Charles R. "A Reappraisal of Recent Tests of the Permanent Income Hypothesis," Journal of Political Economy, Vol. 95, No. 3, June 1987, pp. 64 1-646.

March 1985Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
with Andrew F. Siegel: w1594

Published: Nelson, Charles R. and Andrew F. Seigel. "Parsimonious Modeling of Yield Curves," Journal of Business, Vol. 60, No. 3, pp. 473-489, (October 1987).

November 1983Pitfalls in the use of Time as an Explanatory Variable in Regression
with Heejoon Kang: t0030

Published: Nelson, Charles R. and Heejoon Kang. "Pitfalls in the Use of Time as an Explanatory Variable in Regression," Journal of Business and Economic Statistics, Vol. 2, No. 1, January 1984, pp. 73-82.

 
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