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Hypothesis testing based on goodness-of-fit in the moving average time series model

Nelson, Charles R.; Shea, Gary S. - In: Journal of Econometrics 10 (1979) 2, pp. 221-226

Persistent link: https://www.econbiz.de/10005122678

The first-order moving average process : Identification, estimation and prediction

Nelson, Charles R. - In: Journal of Econometrics 2 (1974) 2, pp. 121-141

Persistent link: https://www.econbiz.de/10005122736

Gains in efficiency from joint estimation of systems of autoregressive-moving average processes

Nelson, Charles R. - In: Journal of Econometrics 4 (1976) 4, pp. 331-348

Persistent link: https://www.econbiz.de/10005192234

The Beveridge-Nelson decomposition in retrospect and prospect

Nelson, Charles R. - In: Journal of Econometrics 146 (2008) 2, pp. 202-206

Beveridge and Nelson [Beveridge, Stephen, Nelson, Charles R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'business cycle'. Journal of Monetary Economics 7, 151-174] proposed that the...

Persistent link: https://www.econbiz.de/10005192325

The zero-information-limit condition and spurious inference in weakly identified models

Nelson, Charles R.; Startz, Richard - In: Journal of Econometrics 138 (2007) 1, pp. 47-62

Persistent link: https://www.econbiz.de/10005052810