CHARLES R. NELSON
Curriculum Vitae
March 2007
|
Department
of Economics |
Telephone (206) 685-1382 FAX (206)
685-7477 e-mail cnelson@u.washington.edu |
EDUCATION:
B.A. 1963,
Ph.D. 1969, M.A. 1967, University of
ACADEMIC APPOINTMENTS:
1993 - date Ford and Louisa Van Voorhis Professor of Political Economy,
Department
of Economics,
1975 - date Professor of Economics,
1980 - date Adjunct Professor of Statistics,
2004 Erskine
Fellow,
1976 / 2003, Director, Inst. for Economic Research, U of
1982 - 1993 Research Associate, National Bureau of Economic Research.
1989 Visiting
Scholar, The Bank of
l984 - 1985 Visiting Scholar, University of Cambridge &Trinity College.
l979 - l984 Chairman, Department of Economics,
l975 Research
Fellow, Dept. of Statistics, London School of Economics.
l973 - l975 Assoc. Professor, Graduate School of Business,
l969 - l973 Asst. Professor, Graduate School of Business,
l968 - l969 Post-doctoral Fellow,
PROFESSIONAL SERVICE:
1976-83, 93- Associate Editor, Journal of
Money, Credit and Banking
Past editorial boards: American Statistician, Economic Inquiry, J.
of Applied Econometrics,
J .of Business and
Economic Statistics, J. of Econometrics,
J. of Monetary
Economics.
198l - date Trustee/director Columbia/Liberty/Stein Roe Mutual Fund Family
1992 - 1998 Advisory Board, Fund
Directions (for mutual fund trustees)
1990, 96, ‘04 Consultant, Federal Reserve System.
1982 - 1983 Economics Subcommittee, National Science Foundation
HONORS
Beveridge-Nelson 25th Anniversary Conference at the Federal Reserve Bank of Atlanta 2006.
Fellow of the Econometric Society
ISI HighlyCited (ISI Web of Science, http://isihighlycited.com/)
Irving Fisher Graduate Monograph Award
FREQUENTLY CITED PUBLICATIONS
"Why Are Beveridge-Nelson and
Unobserved-Component Decompositions of GDP So Different?" with James C.
Morley and Eric Zivot, Review of Economics and Statistics, 85:2, May
2003, 235-43.
“The Uncertain Trend in
“Has the
“Business Cycle Turning Points, A New
Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor
Model with Regime-Switching,” with Chang-Jin Kim, Review of Economics and Statistics, Vol. LXXX, no. 2, May 1998, pp.
188-201.
"Mean
Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," (with
Myung Jig Kim and Richard Startz), The
Review of Economic Studies, vol. 58,
May 1991, pp.515-528. Republished
in Market Efficiency: Stock Market Behaviour in Theory and Practice,
1997, edited by Andrew Lo.
"Predictable Stock Returns: The
Role of Small Sample Bias," (with Myung J. Kim), The Journal of Finance, vol. 48, June 1993, pp. 641-661.
"Some Further Results on the Exact
Small Sample Properties of the Instrumental Variable Estimator," (with
Richard Startz), Econometrica, vol.
58 no. 4, July 1990, pp. 967-976.
"The Distribution of the
Instrumental Variables Estimator and Its t-Ratio when the Instrument is a Poor
One," (with Richard Startz) Journal
of Business, vol. 63 no. 1(part 2), Jan. 1990, S125-S140.
"Parsimonious Modeling of Yield
Curves," (with Andrew F. Siegel) Journal
of Business, vol. 60 no. 4, October, 1987, pp. 473-489.
"Trends and Random Walks in
Macroeconomic Time Series," (with Charles I. Plosser), Journal of Monetary Economics, vol. 10,
no. 2, Sept l982, pp. 139-162.
"Spurious Periodicity in
Inappropriately Detrended Time Series" (with Heejoon Kang), Econometrica, vol. 49, no. 3, May l98l,
pp. 741-752.
"A New Approach to Decomposition
of Economic Time Series into Permanent and Transitory Components with
Particular Attention to Measurement of the Business Cycle" (with Stephen
Beveridge), Journal of Monetary Economics
, 7: 151-174, (March) l98l.
"On Testing the Hypothesis that
the Real Rate of Interest is Constant" (with G. William Schwert), American Economic Review, June l977.
"Inflation and Rates of Return on
Common Stock," J. of Finance,
vol. 31 no. 2, May l976, pp. 471-483.
"The
Prediction Performance of the FRB-MIT-Penn Model of the U. S. Economy: American
Economic Review (December, l972); reprinted in Macroeconomic Modeling, edited by Kenneth F. Wallis, and in Economic Forecasting, edited by T. C.
Mills
BIBLIOGRAPHY
ARTICLES
"Spurious
Inference in the GARCH(1,1) Model When It Is Weakly Identified" with Jun
Ma and Richard Startz, Studies n
Nonlinear Dynamics & Econometrics, Volume
11, Issue 1, Article 1, 2007, 1-27. Web address: http://www.bepress.com/snde/vol11/iss1/art1
“Earnings Growth and
the Bull Market of the 1990s: Is There a Case for Rational Exuberance?” with
Jinho Bae, Journal of Macroeconomics,
forthcoming as of 2006.
“Why
are stock returns and volatility negatively correlated?” with Jinho Bae and
Chang-Jin Kim, Journal of Empirical
Finance, v. 14/1, January 2007, 41-58.
“The
Zero-Information-Limit Condition and Spurious Inference in Weakly Identified
Models,” with Richard Startz, Journal of
Econometrics (“Progress and Challenges in Econometrics” Special issue at
the occasion of the 50th anniversary of the Econometric Institute,
Erasmus University Rotterdam), forthcoming as of 2006.
“Expectation Horizon and the Phillips Curve:
The Solution to an Empirical Puzzle” with Jaejoon Lee, Journal of Applied Econometrics, forthcoming as of 2006.
“New Measures of the Output Gap Based
on the Forward-Looking New Keynesian Phillips Curve” with Arabinda Basistha, Journal of Monetary Economics, v. 54/2
(March 2007), .
“Estimation of a Forward-Looking
Monetary Policy Rule: A Time-Varying Parameter Model Using Ex-Post Data,” with
Chang-Jin Kim, Journal of Monetary
Economics, 53 (8), Nov. 2006, 1949-1966.
“Business Cycle Filtering of
Macroeconomic Data via a Latent Business-Cycle Index” with Michael Dueker, Macroeconomic Dynamics, vol. 10 No. 5,
Nov. 2006, 1-22.
"Improved
Inference in Weakly Identified Instrumental Variables Regression," (with Richard
Startz and Eric Zivot) in Econometric
Theory and Practice (Essays in Honor of Peter C.B. Phillips), edited by
Corbae, D., S. N. Durlauf, and B. E. Hansen, Cambridge University Press, 2006.
“The
Structural Break in the Equity Premium” with Chang-Jin Kim and James C. Morley,
J. of Business and Economic Statistics,
2005, Vol. 23, No. 2 (April), 181-191. http://morley.wustl.edu/kmn3_062104.pdf
“The
Great Depression and Output Persistence: A Reply to Papell and Prodan,” with
Christian J. Murray, Journal of Money Credit and Banking,
Vol. 36, No. 3, Part 1, (June 2004), 429-32..
“Is There a Positive Relationship Between
Stock Market Volatility and the Equity Premium?” with Chang-Jin Kim and James
C. Morley, J. of Money Credit and Banking, Vol. 36, No. 3, Part 1, (June 2004), 339-60.
"The Less Volatile
"Why Are Beveridge-Nelson and
Unobserved-Component Decompositions of GDP So Different?" with James C.
Morley and Eric Zivot, The Review of Economics and Statistics, 85:2, May
2003, 235-43.
"The Great Depression and Output
Persistence" with Chris Murray, J.
of Money, Credit, and Banking, Nov. 2002, vol. 34:4, 1090-1098.
“A Bayesian Approach to Testing
for Markov Switching in Univariate and Dynamic Factor Models” with Chang-Jin
Kim, International Economic Review,
vol. 42, no. 4, November 2001, 989-1013..
“Does an intertemporal tradeoff between risk
and return explain mean reversion in stock prices?” with Chang-Jin Kim and
James C. Morley, Journal of Empirical
Finance, 2001, vol. 8, 403-426.
“Markov Switching and Unit Root Tests,”
with Jeremy Piger and Eric Zivot, J. of
Business and Economic Statistics,
vol. 19 (4), October 2001, pp. 404-415.
“The Uncertain Trend in
"State-Space Modeling of the
Relationship Between Air Quality and Mortality" with Christian J. Murray, J. of the Air and Waste Management Assn.,
July 2000, vol. 50, 1075-1080. http://www.awma.org/journal/pdfs/2000/7/murray.pdf
“Has the
“Friedman’s Plucking Model of Business
Fluctuations: Tests and Estimates of Permanent and Transitory Components” with
Chang-Jin Kim, 1999, J. of Money, Credit,
and Banking, vol. 31, no. 3, part 1, 317-34.
“Valid Confidence Intervals and
Inference in the Presence of Weak Instruments,” with Richard Startz & Eric
Zivot, 1998, International Economic
Review, Vol. 39, No. 4, 1119-44.
“Testing for Mean Reversion in
Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented
Randomization,” with Chang-Jin Kim, 1998, Journal
of Empirical Finance, vol. 5 (4), 385-396.
“Testing for Mean Reversion in
Heteroskedastic Data Based on Gibbs-Sampling-Augmented Randomization,” with
Chang-Jin Kim and Richard Startz, 1998, Journal
of Empirical Finance, vol. 5, no. 2, pp. 131-154.
“Business Cycle Turning Points, A New
Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor
Model with Regime-Switching,” with Chang-Jin Kim, Review of Economics and Statistics, Vol. LXXX, no. 2, May 1998, pp.
188-201.
"Mean
Reversion in Stock Prices? A Reappraisal of the Empirical Evidence" by
Myung-Jig Kim, Charles Nelson, and Richard Startz (originally Review of
Economic Studies) was republished in Market Efficiency: Stock Market
Behaviour in Theory and Practice, 1997, (International Library of Critical
Writings in Financial Economics, 3), edited by Andrew Lo.
"Predictable Stock Returns: The
Role of Small Sample Bias," (with Myung J. Kim), The Journal of Finance, vol. 48, June 1993, pp. 641-661.
"Mean
Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," (with
Myung Jig Kim and Richard Startz), The
Review of Economic Studies, vol. 58,
May 1991, pp.515-528.
Republished in Market Efficiency:
Stock Market Behaviour in Theory and Practice, 1997, (International Library
of Critical Writings in Financial Economics, 3), edited by Andrew Lo.
"Are Stock Returns Predictable? A
Critique of the Evidence," in Quantifying
the Market Risk Premium, ed. by William F. Sharpe and Katrina F. Sherrerd,
Inst. of Chartered Financial Analysts, 1990.
"Some Further Results on the Exact
Small Sample Properties of the Instrumental Variable Estimator," (with
Richard Startz), Econometrica, vol.
58 no. 4, July 1990, pp. 967-976.
"The Distribution of the
Instrumental Variables Estimator and Its t-Ratio when the Instrument is a Poor
One," (with Richard Startz) Journal
of Business, vol. 63 no. 1(part 2), Jan. 1990, S125-S140.
"A Markov Model of
Heteroskedasticity, Risk, and Learning in the Stock Market," (with
Christopher M. Turner and Richard Startz), The
Journal of Financial Economics, vol. 25 no. 1, November 1989, 3-25.
"The Time-Varying Parameter Model
as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case
of the Lucas Hypothesis" (with Chang-Jin Kim), Journal of Business and Economic Statistics, vol. 7 no. 4, October
1989, pp. 433-440.
"Implicit Estimates of the Natural
and Cyclical Components of
"The NERC Fan in Retrospect and Lessons
for the Future," (with Stephen C. Peck & Robert G. Uhler), The Energy Journal, vol. 10 no. 2, 1989,
pp. 91-107.
"Spurious Trend and Cycle in the
State Space Decomposition of a Time Series with a Unit Root," Journal of Economic Dynamics & Control,
vol. 12, June/Sept 1988, pp. 475-488.
"Grant Funding in Economics from
the National Science Foundation During Fiscal Year 1987," UW Discussion
Paper, May 1989.
"Long Term Behavior of Yield
Curves," (with Andrew F. Siegel) Journal
of Financial and Quantative Analysis, March, 1988, pp. 105-110.
"Parsimonious Modeling of Yield
Curves," (with Andrew F. Siegel) Journal
of Business, vol. 60 no. 4, October, 1987, pp. 473-489.
"A Reappraisal of Recent Tests of
the Permanent Income Hypothesis, Journal
of Political Economy, vol. 95, no. 3, June 1987, pp. 641-646.
"Implicit Estimates of Natural,
Trend, and Cyclical Components of Real GNP" NBER Working Paper No. 2253,
May 1987.
"The NERC Fan: A Retrospective Analysis of the NERC Summary
Forecast" (with Stephen C. Peck) Journal
of Business and Economic Statistics, vol. 3, no. 3, July l985, pp. 179-187.
"A Benchmark for the Accuracy of
Econometric Forecasts of GNP, Business
Economics, April, l984.
"Pitfalls in the Use of Time as an
Explanatory Variable in Regression," (with Heejoon Kang) Journal of Business and Economic Statistics,
vol. 2, no. 1, January l984, pp. 73-82.
"Trends and Random Walks in
Macroeconomic Time Series," (with Charles I. Plosser), Journal of Monetary Economics, vol. 10,
no. 2, Sept l982, pp. 139-162.
"Tests for Predictive
Relationships between Time Series: A
Monte Carlo Investigation" (with G.
William Schwert) Journal of the American
Statistical Association, March l982.
"Spurious Periodicity in
Inappropriately Detrended Time Series" (with Heejoon Kang), Econometrica, vol. 49, no. 3, May l98l,
pp. 741-752.
"Adjustment Lags vs. Information
Lags: A Test of Alternative Explanations
of the Phillips Curve Phenomenon" Journal of Money, Credit and Banking,
Feb l98l.
"A New Approach to Decomposition
of Economic Time Series into Permanent and Transitory Components with
Particular Attention to Measurement of the Business Cycle" (with Stephen
Beveridge), Journal of Monetary Economics
, 7: 151-174, (March) l98l.
"Recursive Structure in
"Hypothesis Testing Based on
Goodness-of-Fit in the Moving Average Time Series Model" (with G. S.
Shea), Journal of Econometrics , June
l979.
"Granger Causality and the Natural
Rate Hypothesis," Journal of
Political Economy, April l979.
"The Term Structure of Interest
Rates: Theories and Evidence"
Chapter in Handbook of Financial
Economics, (ed. by James Bicksler).
North-Holland Publishing Co., l979
"The Stochastic Properties of
Velocity and the Quantity Theory of Money" (with J. Gould, M. Miller and
C. Upton), Journal of Monetary Economics,
April l978.
"On Testing the Hypothesis that
the Real Rate of Interest is Constant" (with G. William Schwert), American Economic Review, June l977.
"Forecasting Stumpage Prices: A Problem in the Construction of a Viable
Forest Tax Sytstem," Proceedings of
the
"The Interpretation of R-Squared
in Autoregressive-Moving Average Time Series Models," The American Statistician (Nov., l976)
"Inflation and Capital
Budgeting," The Journal of Finance,
VOL. 31, No. 3, (June, l976), pp. 923-31.
"Inflation and Rates of Return on
Common Stock," The Journal of
Finance, vol. 31 no. 2, May l976, pp. 471-483.
"Gains in Efficiency from Joint
Estimation of Systems of Autoregressive-Moving Average Processes" Journal
of Econometrics (November, l976)
"Rational Expectations and the
Estimation of Econometric Models,"
International Economic Review (October, l975)
"Rational Expectations and the
Predictive Efficiency of Economic Models," Journal of Business (July, l975)
"The Ex Ante Prediction
Performance of the
"Inflation, Taxes, and the Value
of Corporate Shares," Proceedings,
Seminar on the Analysis of Securities Prices, University of
"Estimating and Parameters of a
Distributed Lag Model from Cross-Section Data:
The Case of Hospital Admissions and Discharges," (with G. William
Schwert) Journal of the American
Statistical Association (September, l974)
"The Stochastic Structure of the
Velocity of Money," (with John P. Gould) American Economic Review, (June, l974), vol. 54, pp. 405-418.
"The First Order Moving Average
Process: Identification Estimation and
Prediction," Journal of
Econometrics (July, l974)
"Ex Post and Ex Ante Prediction
Performance," (with J. P. Cooper),Chapter So Entitled in Development of the Monetary Sector
Prediction and Policy Analysis in the FRB-MIT-Penn Model by J. P.
Cooper.
"The Prediction Performance of the
FRB-MIT-Penn Model of the U. S. Economy:
American Economic Review
(December, l972); reprinted in Macroeconomic
Modeling, edited by Kenneth F. Wallis, and in Economic Forecasting, edited by T. C. Mills
"Error Learning Models of the Term
Structure of Interest Rates and the Cyclical Movement of Term Premiums," Journal of Political Economy, (Nov/Dec,
l972)
"Estimation of Term Premiums from
Average Differentials in the Term Structure of Interest Rates," Econometrica, (March, l972), 277-87.
"Testing a Model of the Term
Structure of Interest Rates by Simulation of Market Forecasts" Journal of the American Statistical
Association (September, 1970)
"A Critique of Some Recent
Empirical Research in the Explanation of the Term Structure of Interest Rates:
Comment," J. of Political Economy,
July/Aug l970
BOOKS
State-Space
Models with Regime Switching: Classical and Gibbs Sampling Approaches with
Applications, with Chang-Jin Kim,
Macroeconomics:
An Introduction.
Internet Edition 2006; with Power PointÔ Lectures,
Testbank, Web page: http://www.econ.washington.edu/user/cnelson/STUDENT.html.
The
Investor's Guide to Economic Indicators. John Wiley & Sons, 1987.
Applied
Time Series Analysis for Managerial Forecasting. Holden-Day,
1973.
The
Term Structure of Interest Rates.
Basic Books, Irving Fisher Graduate Monograph Award Series. l972.
BOOK REVIEWS AND MISCELLANEOUS
Review of Dynamic Econometrics by David F. Hendry in Econometric Reviews, vol. 17, no. 2, 1998.
“Empirical Evidence on the Recent
Behavior and Usefulness of Simple-Sum and Weighted Measures of the Money Stock:
Commentary,” The Federal Reserve Bank of
St. Louis Review, March/April 1994, pp. 110-116.
“The Two Charlies Paper: Is GNP a
Random Walk?” Citation Classic in Current
Contents/ Social and Behavioral Sciences, July 1993; reprinted in Current Contents/ Arts and Humanities.
Review of Comparative Performance of U.S. Econometric Models, edited by
Lawrence R. Klein, JASA, September
1992, p. 905.
"Macroeconomic Time Series,
Business Cycles, and Macroeconomic Policies: A Comment," Carnegie-Rochester Conference Series (Sp
1985), pp. 55-59
"Policy Robustness: Specification and Simulation of a Monthly
Money Market Model-Comment," JMCB,
l982
"Reply to Jacob A.
Frenkel" Journal of Money, Credit and Banking, Nov. l98l.
"Discussion of Paper by Robert J.
Shiller" in Rational Expectations
and Economic Policy (ed. by Stanley Fischer), NBER, l980.
"Discussion of the Zellner and
Schwert Papers," JME, Suppl.
1979.
"The Brookings Model: Perspective and Recent Developments"
(ed. by Gary Fromm and
"Discuss. of Paper by D. L.
Prothero and K. F. Wallis," JRSS,
1976.
"Seasonal Adjustment and Multiple
Time Series Analysis: Discussion," Seasonal
Analysis of Economic Time Series, ed. by A. Zellner, U. S. Department of
Commerce (l978);
"Development of the Monetary
Sector, Prediction and Policy in the FRB-MIT-PENN Model," by J. Phillip
Cooper; JEL,1975.
"Scalpers: Criminals or Angels?" Puzzles and Problems Section, JPE May/June
l972 p. 620. Comment, May/June l973, p.
799.
Discussant's Comment: "A Statistical Model of Earnings
Estimation," by M. N. Greenball, Empirical Research in Accounting: Selected Studies (l97l)
Economic Forecasts and
Expectations: Analysis of Forecasting
Behavior and Performance, by Jacob Mincer (ed.); JF, 1970.
"Economic Analysis" sections:
The Economy of Northeastern Wisconsin;
The Economy of Central Wis.; The Economy of Southeastern Wis.; The Economy of
Southwestern Wis.; The Economy of Western Wis.; The Economy of Eastern Wis.,
Department of Resource Development, State of Wisconsin, 1967.
MAJOR RESEARCH GRANTS
“Extensions and Applications of
State-Space Models with Markov-Switching: Hypothesis Testing,” with Chang-Jin
Kim, NSF grant #SES-9818789, $75,391, 1999-00.
“Confidence Regions and Inference in
the Presence of Weak Instruments,” with Richard Startz and Eric Zivot, NSF
grant #SBR-9711301, $155,453, 1997-99.
“Estimation and Inference using Instrumental
Variables,” Royalty Research Fund,
"Some Critical Maintained
Hypotheses in Testing for Real Effects of Anticipated and Unanticipated
Money," National Science Foundation, l982-83, l983-86; John H. Makin,
Co-PI.
"Time Series Analysis Issues in
Macro Econometrics," l979 - l98l; National Science Foundation.
"Topics in Econometrics,"
l972 - l974; National Science Foundation.
END.