Department of Economics
University of Washington
Seattle, WA 93195
Information about this author at RePEc
NBER Working Papers and Publications
|March 1990||Predictable 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.
|1989||A 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 1988||Mean 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 1988||Some 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 1987||Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root|
Published: Journal of Economic Dynamics and Control, vol. 12,no.2/3, June/September 1988, pp475-488.
|May 1987||Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP|
|1986||Long-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 1985||A Reappraisal of Recent Tests of the Permanent Income Hypothesis|
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 1985||Parsimoneous 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 1983||Pitfalls 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.