Access Statistics for Andrew C. Harvey

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bayes estimates of the cyclical component in twentieth centruy US gross domestic product 1 1 1 43 3 4 9 113
Beta-t-(E)GARCH 4 8 30 1,270 10 19 97 2,736
Co-integration and control: assessing the impact of events using time series data 0 0 0 80 1 1 8 86
Computing Observation Weights for Signal Extraction and Filtering 0 1 2 262 0 1 22 646
Convergence and Cycles in the Euro Zone 0 0 0 163 1 1 9 382
Convergences of prices and rates of inflation 0 0 0 211 1 4 17 585
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 0 374 0 1 15 1,244
Cyclical components in economic time series 0 0 0 98 0 0 3 205
Cyclical components in economic time series: A Bayesian approach 0 0 0 160 1 1 21 591
Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) 0 0 0 0 1 2 7 56
Dynamic Tobit models 0 0 0 162 1 3 15 294
Dynamic distributions and changing copulas 0 0 1 298 1 3 19 564
EGARCH models with fat tails, skewness and leverage 0 0 0 255 1 1 20 545
Estimation and Testing of Stochastic Variance Models 0 0 0 0 1 2 18 231
Exponential Conditional Volatility Models 0 0 4 430 1 4 20 787
Exponential conditional volatility models 0 0 2 92 0 0 18 217
Filtering with heavy tails 0 0 0 155 1 3 21 286
Forecasting epidemic trajectories: Time Series Growth Curves package tsgc 0 0 0 12 1 1 11 20
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 0 0 2 1,207 0 4 25 2,408
Growth, Cycles and Convergence in US Regional Time Series 0 0 0 344 0 1 13 1,014
Hidden Threshold Models with applications to asymmetric cycles 0 0 2 30 0 0 11 39
Inflation convergence and divergence within the European Monetary Union 0 0 2 352 2 2 19 1,110
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 60 1 2 13 218
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 1 9 123
Modeling directional (circular) time series 0 2 3 98 1 4 21 157
Modeling the Interactions between Volatility and Returns 0 0 1 175 1 3 10 324
Modeling the Phillips curve with unobserved components 0 0 0 695 0 0 11 1,322
Modeling time series with zero observations 0 0 0 131 1 1 21 252
Models for Converging Economies 0 0 0 381 0 1 23 1,092
Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.) 0 0 0 0 1 2 11 138
Multivariate Unit Root Tests and Testing for Convergence 0 0 1 803 1 5 22 1,894
Quantiles, Expectiles and Splines 0 0 0 414 0 0 11 1,197
Quantiles, Expectiles and Splines 0 0 0 122 4 8 40 322
Regime switching models for directional and linear observations 0 0 0 52 0 0 7 73
Score-Driven Models for Realized Volatility 0 0 1 160 2 4 29 317
Score-driven time series models 0 0 2 90 1 1 25 106
Seasonality in Dynamic Regression Models 0 0 0 0 0 1 11 337
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 0 6 36
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 0 0 14 80
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 1 2 8 18
Stochastic Volatility 0 0 0 3 0 0 30 1,673
Stochastic Volatility 0 0 4 2,093 0 2 47 4,854
Stochastic Volatility 0 0 2 478 1 2 39 1,678
Stochastic Volatility 0 0 0 8 0 0 38 3,562
Stochastic Volatility 0 0 0 37 0 2 28 272
Testing against Changing Correlation 0 0 0 92 1 3 19 170
Testing for Drift in a Time Series 0 0 1 987 0 0 35 3,681
Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.) 0 0 0 0 0 0 3 30
Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.) 0 0 0 6 0 0 8 33
Testing for the presence of a random walk in series with structural breaks 0 0 0 7 0 0 5 41
Testing for trend 0 0 0 492 1 1 14 1,497
Tests of Common Stochastic Trends 0 0 0 0 0 1 9 1,718
Tests of time-invariance 0 0 0 102 0 0 13 336
Tests of time-invariance 0 0 0 246 1 1 10 1,277
The Dyanamic Location/Scale Model: with applications to intra-day financial data 0 1 2 352 1 3 12 632
The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.) 0 0 0 0 0 1 12 55
Time series modeling of epidemics: leading indicators, control groups and policy assessment 0 0 0 9 0 0 10 36
Time series models for epidemics: leading indicators, control groups and policy assessment 0 0 0 65 0 1 15 69
Time series models with an EGB2 conditional distribution 0 0 0 70 2 3 24 212
Time series models with an EGB2 conditional distribution 0 0 0 41 1 2 17 151
Time-Varying Quantiles 0 0 0 377 0 4 20 768
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 0 0 16 664
Trend, Seasonality and Seasonal Adjustment 0 0 1 98 1 1 7 114
Trends and cycles in economic time series: A Bayesian approach 0 0 1 226 0 1 7 436
Trends, Cycles and Convergence 0 0 0 437 1 2 17 779
Two EGARCH models and one fat tail 0 1 1 36 1 3 14 102
Two EGARCH models and one fat tail 0 0 0 79 1 4 18 142
Volatility Modeling with a Generalized t-distribution 0 0 0 113 1 2 11 194
When is a copula constant? A test for changing relationships 0 0 0 253 0 3 16 608
Total Working Papers 5 14 66 15,911 54 135 1,224 47,949

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Beveridge-Nelson smoother 0 0 0 122 0 1 10 253
A Note on Common Cycles, Common Trends, and Convergence 0 0 0 184 0 2 12 486
A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors 0 0 0 20 0 0 4 133
A comparison of the power of some tests for heteroskedasticity in the general linear model 0 0 0 118 0 1 9 238
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 1 1 10 64
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 0 0 0 25 0 1 17 68
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 0 0 0 21 0 0 2 70
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 2 7 129
Cointegration and control: Assessing the impact of events using time series data 0 1 2 36 0 1 13 130
Computing observation weights for signal extraction and filtering 0 1 6 203 0 1 32 511
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 0 121 1 2 9 452
Continuous time autoregressive models with common stochastic trends 0 0 0 74 0 1 12 168
Convergence in the trends and cycles of Euro-zone income 0 0 0 294 0 1 9 767
Convergence in the trends and cycles of Euro‐zone income 0 0 1 1 0 1 16 21
Convergence of Prices and Rates of Inflation* 0 0 0 114 0 1 22 335
Detrending, Stylized Facts and the Business Cycle 0 3 9 1,270 1 8 33 3,651
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 0 2 20 801
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 0 4 0 2 9 17
EGARCH models with fat tails, skewness and leverage 1 1 4 53 1 2 23 190
Estimating Regression Models with Multiplicative Heteroscedasticity 0 1 6 811 1 4 24 1,858
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 0 0 8 76
Estimating the underlying change in unemployment in the UK 0 1 1 106 0 5 15 251
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 0 0 18 939
Estimation of simultaneous equation models with stochastic trend components 0 0 0 34 0 2 11 131
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 0 7 0 1 12 38
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 69 0 0 7 176
Filtering With Heavy Tails 0 1 3 103 0 3 17 229
Finite Sample Prediction from Arima Processes 0 0 1 7 0 1 10 27
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 0 3 28 985
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 0 0 14 415
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 0 5 0 1 4 29
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 1 2 6 417 2 5 32 991
Growth, cycles and convergence in US regional time series 0 0 0 74 0 0 8 249
Inflation Convergence and Divergence within the European Monetary Union 0 0 0 228 0 3 27 663
Kernel density estimation for time series data 0 0 5 131 2 4 37 466
Linear Regression in the Frequency Domain 0 0 0 258 0 1 10 664
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 68 0 0 7 363
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 0 12 0 1 10 62
Modeling time series when some observations are zero 0 1 2 171 0 1 22 939
Modelling circular time series 0 2 6 15 0 3 29 58
Modelling the Phillips curve with unobserved components 0 0 0 160 0 2 13 342
Multivariate Stochastic Variance Models 0 1 4 1,461 0 3 29 3,539
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 1 4 15 1 5 18 49
On Comparing Regression Models in Levels and First Differences 0 0 1 1,129 0 3 13 2,629
Quantiles, expectiles and splines 0 0 0 124 0 0 12 344
Regime switching models for circular and linear time series 0 1 6 16 0 1 22 50
Review of '4thought' 0 0 0 30 1 1 14 114
Robust time series models with trend and seasonal components 0 0 0 12 0 1 19 78
Score-driven models for realized volatility 0 0 2 5 2 3 28 43
Seasonality Tests 0 0 0 5 0 1 22 1,512
Seasonality in Dynamic Regression Models 0 0 0 354 0 0 14 1,199
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 2 3 15 439
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 14 1,475
Some Comments on Multicollinearity in Regression 0 0 0 4 0 1 3 14
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 0 0 111 0 0 3 301
Structural time series models in inventory control 0 0 0 134 0 1 10 428
TESTING FOR TREND 0 0 0 99 1 1 14 263
TESTS OF COMMON STOCHASTIC TRENDS 0 0 0 175 0 0 43 367
TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT 0 0 0 4 0 0 7 19
TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 0 0 0 4 1 1 5 16
Testing against changing correlation 0 0 0 11 0 1 6 68
Testing against smooth stochastic trends 0 0 0 269 0 3 17 1,131
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations 0 0 0 0 0 0 6 222
Testing for Serial Correlation in Simultaneous Equation Models 0 0 0 56 0 1 9 208
Testing for a slowly changing level with special reference to stochastic volatility 0 0 0 39 0 0 9 140
Testing for functional misspecification in regression analysis 4 4 5 277 5 5 23 725
Testing for heteroscedasticity in simultaneous equation models 0 0 0 66 0 0 5 163
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 23 0 0 8 73
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 0 3 0 0 5 15
Testing in Unobserved Components Models 0 0 0 1 0 1 9 490
Tests for Deterministic Versus Indeterministic Cycles 0 0 0 3 0 1 4 9
Tests of strict stationarity based on quantile indicators 0 0 0 25 0 0 11 98
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 0 1 17 1 2 8 66
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 2 15 923
The effects of seat belt legislation on British road casualities: A case study in structural modelling: A.C. Harvey and J. Durbing, Journal of the Royal Statistical Society, Series A 149 (1986) (in press) 0 1 1 104 1 2 9 326
The estimation of dynamic models with missing observations 0 0 0 0 0 0 9 22
The local quadratic trend model 0 0 2 118 1 1 14 501
Time Series Models for Count or Qualitative Observations 0 0 0 0 1 2 10 509
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 0 1 8 318
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 3 5 0 2 20 31
Time-series models with an EGB2 conditional distribution 0 0 0 12 0 0 10 75
Tracking a changing copula 0 0 0 121 0 1 7 253
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 2 3 29 1,394
Trends and cycles in economic time series: A Bayesian approach 0 0 1 280 0 1 19 637
Trends, Cycles and Autoregressions 0 0 0 296 0 0 9 545
Unobserved component time series models with Arch disturbances 0 0 0 649 1 2 19 1,165
Volatility Modeling with a Generalized t Distribution 0 0 0 11 0 0 11 53
When is a Copula Constant? A Test for Changing Relationships 0 0 0 81 0 1 15 237
Total Journal Articles 6 22 82 11,525 30 127 1,261 41,711

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 2 7 34 339
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 1 5 33 165
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 6 25 93 1,449
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 1 10 125 2,383
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 1 3 47 1,289
Total Books 0 0 0 0 11 50 332 5,625

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Discrimination Between CES and VES Production Functions 0 0 0 144 0 0 5 794
Forecasting with Unobserved Components Time Series Models 0 2 5 876 0 3 22 2,904
James Durbin (1923–2012) 0 0 0 0 0 3 17 32
MESSY TIME SERIES 0 0 1 1 0 14 18 19
Trends, Cycles, and Convergence 0 0 0 76 0 1 13 283
Total Chapters 0 2 6 1,097 0 21 75 4,032

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Statistics updated 2026-10-11