Charles R. Nelson

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We examine a variety of models in which the variance of a portfolio’s excess return depends on a state variable generated by a first-order Markov process. A model in which the state is known to economic agents is estimated. It suggests that the mean excess return moves inversely with the level of risk. We then estimate a model in which agents are uncertain(More)
Using a Bayesian model comparison strategy, we search for a volatility reduction within the post-war sample for the growth rates of U.S. aggregate and disaggregate real GDP. We find that the growth rate of aggregate real GDP has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real(More)
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We collected and completely sequenced 32,127 full-length complementary DNA clones from Oryza sativa L. ssp. japonica cv. "Nipponbare." Mapping of these clones to genomic DNA revealed approximately 20,500 transcriptional units (TUs) in the rice genome. For each TU, we selected 60-mers using an algorithm that took into account some DNA conditions such as base(More)
Several recent papers conclude that U.S. real GDP is trend stationary, implying that all shocks are transitory and the long run path is deterministic. These inferences fail to take into account two problems: the distortion of test size in finite samples due to data-based model selection, and the fragility of unit root tests in the face of plausible(More)
The authors acknowledge with thanks the support of the National Science Foundation under grants SES-9818789 and SBR-9711301 and the Van Voorhis and Ensley endowments at the University of Washington. Thanks also to Charles Engel, Chang-Jin Kim, Chris Murray, Jeremy Piger, Simon Potter, Adrian Raftery, Richard Startz and Mark Wohar for helpful comments, but(More)
Until recently, few genomic reagents specific for non-human primate research have been available. To address this need, we have constructed a macaque-specific high-density oligonucleotide microarray by using highly fragmented low-pass sequence contigs from the rhesus genome project together with the detailed sequence and exon structure of the human genome.(More)
We investigate the power and size performance of unit root tests when the true data generating process undergoes Markov regime-switching. All tests, including those robust to a single break in trend growth rate, have very low power against a process with a Markov-switching trend growth rate as in Lam (1990). However, for the case of business cycle(More)
This paper investigates whether evidence for a positive relationship between stock market volatility and the equity premium is more decisive when the volatility feedback effects of large and persistent changes in market volatility are taken into account. The analysis has two components. First, a log– linear present value framework is employed to derive a(More)