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~isPartOf:"Working Papers / Department of Economics, University of Washington"
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NELSON, C.R.
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Nelson, C-R
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STARTZ, R.
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Startz, R.
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Kim, C-J
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NELSON, C.
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Kim, C.J.
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Working Papers / Department of Economics, University of Washington
Working paper / National Bureau of Economic Research, Inc.
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1
The Uncertain Trend in U.S. GDP.
Nelson, C-R
;
Murray, C-J
-
Department of Economics, University of Washington
-
1997
Several recent papers conclude that US real GDP is trend stationary, implying that all shocks are transitory and the long run path is deterministic.
Persistent link: https://www.econbiz.de/10005785047
Saved in:
2
Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
Zivot, E
;
Startz, R
;
Nelson, C-R
-
Department of Economics, University of Washington
-
1997
We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals for a structural parameter perform poorly in that the probability they reject the null is far greater than their nominal size. We show that the preactice...
Persistent link: https://www.econbiz.de/10005198630
Saved in:
3
Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components.
Kim, C-J
;
Nelson, C-R
-
Department of Economics, University of Washington
-
1997
More than thirty years ago Milton Friedman proposed a 'plucking' model of business fluctuations in which output cannot exceed a ceiling level, but will, from time to time, be plucked downward by recession. The model implied that business fluctuations are asymmetric, that recessions have only a...
Persistent link: https://www.econbiz.de/10005198636
Saved in:
4
Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization.
Kim, C-J
;
Nelson, C-R
-
Department of Economics, University of Washington
-
1997
A decade ago Fama and French (1998) estimated that 40% variations in stock returns was predictable over horizons of 3-5 years, which they attributed to a mean reverting stationary component in prices. While it has been clear that the Depression and war years exert a strong influence on these...
Persistent link: https://www.econbiz.de/10005685385
Saved in:
5
Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization.
Kim, C.J.
;
Nelson, C.R.
;
Startz, R.
-
Department of Economics, University of Washington
-
1996
Privious work reported that heteroskedasticity did not affect the sampling distribution of the variance ratio, or had assumed that the investigator know a priori the pattern of heteroskedasticity. This paper uses the Gibbs sampling approach in the context of a three state Markov-switching model...
Persistent link: https://www.econbiz.de/10005432399
Saved in:
6
Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
Nelson, C.R.
;
Startz, R.
;
Zivot, E.
-
Department of Economics, University of Washington
-
1996
We investigate confidence intervals and inference for the instrumental variables model with weak instruments.
Persistent link: https://www.econbiz.de/10005432405
Saved in:
7
More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong.
Nelson, C.R.
;
Startz, R.
-
Department of Economics, University of Washington
-
1990
Persistent link: https://www.econbiz.de/10005432291
Saved in:
8
PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?.
NELSON, C.R.
;
KIM, M.J.
-
Department of Economics, University of Washington
-
1990
Persistent link: https://www.econbiz.de/10005432373
Saved in:
9
THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET.
TURNER, C.M.
;
STARTZ, R.
;
NELSON, C.R.
-
Department of Economics, University of Washington
-
1989
Persistent link: https://www.econbiz.de/10005432278
Saved in:
10
GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987.
NELSON, C.R.
-
Department of Economics, University of Washington
-
1989
Persistent link: https://www.econbiz.de/10005432313
Saved in:
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