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 0 0 0 42 1 2 2 106
Beta-t-(E)GARCH 4 6 24 1,246 17 29 66 2,668
Co-integration and control: assessing the impact of events using time series data 0 0 2 80 1 2 5 80
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 3 5 7 629
Convergence and Cycles in the Euro Zone 0 0 0 163 1 2 11 375
Convergences of prices and rates of inflation 0 0 0 211 0 4 4 572
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 0 374 1 2 4 1,231
Cyclical components in economic time series 0 0 0 98 0 0 3 202
Cyclical components in economic time series: A Bayesian approach 0 0 0 160 0 0 0 570
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 4 51
Dynamic Tobit models 0 0 1 162 4 6 14 285
Dynamic distributions and changing copulas 0 0 0 297 4 5 6 550
EGARCH models with fat tails, skewness and leverage 0 0 2 255 1 8 10 533
Estimation and Testing of Stochastic Variance Models 0 0 0 0 2 4 8 217
Exponential Conditional Volatility Models 3 3 4 429 4 5 9 772
Exponential conditional volatility models 0 0 1 90 1 5 7 204
Filtering with heavy tails 0 0 1 155 3 8 10 273
Forecasting epidemic trajectories: Time Series Growth Curves package tsgc 0 0 0 12 1 3 4 12
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 0 1 4 1,206 3 5 10 2,388
Growth, Cycles and Convergence in US Regional Time Series 0 0 2 344 0 4 6 1,005
Hidden Threshold Models with applications to asymmetric cycles 0 1 1 29 3 4 9 32
Inflation convergence and divergence within the European Monetary Union 0 0 0 350 2 5 9 1,096
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 60 4 6 7 211
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 1 2 4 116
Modeling directional (circular) time series 0 0 0 95 2 4 4 140
Modeling the Interactions between Volatility and Returns 0 0 0 174 1 3 5 317
Modeling the Phillips curve with unobserved components 0 0 0 695 4 7 11 1,318
Modeling time series with zero observations 0 0 1 131 8 10 12 241
Models for Converging Economies 0 0 0 381 7 12 18 1,081
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 10 129
Multivariate Unit Root Tests and Testing for Convergence 0 1 2 803 2 4 20 1,876
Quantiles, Expectiles and Splines 0 0 0 122 5 8 9 290
Quantiles, Expectiles and Splines 0 0 0 414 3 3 4 1,189
Regime switching models for directional and linear observations 0 0 1 52 0 0 4 66
Score-Driven Models for Realized Volatility 0 0 2 159 1 12 17 300
Score-driven time series models 0 1 1 89 3 11 14 92
Seasonality in Dynamic Regression Models 0 0 0 0 3 5 8 331
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 1 2 31
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 0 0 1 10
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 1 4 4 70
Stochastic Volatility 0 0 0 37 7 11 14 255
Stochastic Volatility 0 0 0 3 6 12 14 1,655
Stochastic Volatility 2 3 10 2,092 8 19 34 4,826
Stochastic Volatility 1 2 6 478 6 8 17 1,647
Stochastic Volatility 0 0 0 8 8 17 33 3,541
Testing against Changing Correlation 0 0 0 92 3 5 10 156
Testing for Drift in a Time Series 0 0 3 986 4 8 24 3,654
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 0 27
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 1 2 4 27
Testing for the presence of a random walk in series with structural breaks 0 0 1 7 0 0 1 36
Testing for trend 0 0 0 492 2 5 11 1,488
Tests of Common Stochastic Trends 0 0 0 0 0 2 3 1,711
Tests of time-invariance 0 0 0 246 0 1 4 1,268
Tests of time-invariance 0 0 0 102 1 3 4 326
The Dyanamic Location/Scale Model: with applications to intra-day financial data 1 1 7 351 2 4 19 624
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 2 3 11 46
Time series modeling of epidemics: leading indicators, control groups and policy assessment 0 0 0 9 3 6 9 32
Time series models for epidemics: leading indicators, control groups and policy assessment 0 0 0 65 4 8 11 62
Time series models with an EGB2 conditional distribution 0 0 1 41 2 5 11 139
Time series models with an EGB2 conditional distribution 0 0 0 70 4 11 11 199
Time-Varying Quantiles 0 0 0 377 1 2 5 750
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 3 8 14 656
Trend, Seasonality and Seasonal Adjustment 0 1 2 98 0 2 5 109
Trends and cycles in economic time series: A Bayesian approach 1 1 2 226 3 5 7 434
Trends, Cycles and Convergence 0 0 1 437 3 4 8 766
Two EGARCH models and one fat tail 0 0 0 35 0 6 7 94
Two EGARCH models and one fat tail 0 0 0 79 1 4 4 128
Volatility Modeling with a Generalized t-distribution 0 0 1 113 0 2 6 185
When is a copula constant? A test for changing relationships 0 0 0 253 1 4 5 596
Total Working Papers 12 21 83 15,866 174 371 668 47,096

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 2 3 4 246
A Note on Common Cycles, Common Trends, and Convergence 0 0 1 184 1 4 7 478
A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors 0 0 0 20 1 1 1 130
A comparison of the power of some tests for heteroskedasticity in the general linear model 0 0 1 118 1 2 3 231
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 1 4 7 58
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 0 0 3 25 1 4 10 55
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 0 0 4 21 1 1 8 69
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 3 5 125
Cointegration and control: Assessing the impact of events using time series data 0 1 7 35 3 6 23 123
Computing observation weights for signal extraction and filtering 1 1 9 198 2 8 35 487
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 1 121 1 2 6 445
Continuous time autoregressive models with common stochastic trends 0 0 1 74 1 2 4 158
Convergence in the trends and cycles of Euro-zone income 0 0 1 294 1 3 7 761
Convergence in the trends and cycles of Euro‐zone income 0 1 1 1 3 5 6 10
Convergence of Prices and Rates of Inflation* 0 0 0 114 13 13 14 326
Detrending, Stylized Facts and the Business Cycle 0 1 9 1,262 1 6 29 3,624
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 3 9 784
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 0 4 2 2 2 10
EGARCH models with fat tails, skewness and leverage 1 1 3 50 4 7 10 174
Estimating Regression Models with Multiplicative Heteroscedasticity 0 1 5 806 1 4 11 1,838
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 1 3 6 71
Estimating the underlying change in unemployment in the UK 0 0 0 105 2 2 4 238
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 5 8 18 929
Estimation of simultaneous equation models with stochastic trend components 0 0 0 34 1 3 5 123
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 1 7 0 3 6 29
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 69 1 1 1 170
Filtering With Heavy Tails 0 2 4 102 1 6 11 218
Finite Sample Prediction from Arima Processes 0 0 2 6 0 2 5 19
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 1 9 11 966
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 3 5 8 406
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 1 5 0 1 2 26
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 0 2 5 413 5 12 20 971
Growth, cycles and convergence in US regional time series 0 0 0 74 2 5 7 246
Inflation Convergence and Divergence within the European Monetary Union 0 0 0 228 3 9 21 645
Kernel density estimation for time series data 0 2 8 128 6 15 40 444
Linear Regression in the Frequency Domain 0 0 1 258 1 2 4 656
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 68 2 2 4 358
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 0 12 1 2 7 54
Modeling time series when some observations are zero 0 1 4 170 7 10 30 927
Modelling circular time series 0 1 2 10 1 6 13 35
Modelling the Phillips curve with unobserved components 0 0 2 160 1 3 6 332
Multivariate Stochastic Variance Models 0 1 3 1,458 5 14 26 3,524
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 0 0 11 1 1 4 32
On Comparing Regression Models in Levels and First Differences 0 0 0 1,128 3 5 6 2,621
Quantiles, expectiles and splines 0 0 0 124 1 1 3 333
Regime switching models for circular and linear time series 0 4 9 14 0 7 18 35
Review of '4thought' 0 0 0 30 1 2 3 102
Robust time series models with trend and seasonal components 0 0 0 12 0 1 2 60
Score-driven models for realized volatility 0 1 2 4 5 15 19 30
Seasonality Tests 0 0 0 5 3 7 12 1,497
Seasonality in Dynamic Regression Models 0 0 0 354 3 4 5 1,189
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 1 1 2 425
Signal extraction and the formulation of unobserved components models 0 0 0 4 4 6 7 1,467
Some Comments on Multicollinearity in Regression 0 0 0 4 0 1 2 12
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 0 0 111 1 2 5 300
Structural time series models in inventory control 0 0 0 134 3 4 8 422
TESTING FOR TREND 0 0 0 99 0 5 9 254
TESTS OF COMMON STOCHASTIC TRENDS 0 0 0 175 18 22 22 346
TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT 0 0 1 4 0 2 4 14
TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 0 0 1 4 2 3 6 14
Testing against changing correlation 0 0 0 11 1 1 3 63
Testing against smooth stochastic trends 0 0 0 269 0 1 3 1,115
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations 0 0 0 0 0 3 3 219
Testing for Serial Correlation in Simultaneous Equation Models 0 0 0 56 2 5 6 204
Testing for a slowly changing level with special reference to stochastic volatility 0 0 0 39 0 1 5 132
Testing for functional misspecification in regression analysis 0 0 13 272 0 4 22 706
Testing for heteroscedasticity in simultaneous equation models 0 0 0 66 1 3 7 161
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 23 0 1 2 66
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 0 3 0 1 2 11
Testing in Unobserved Components Models 0 0 0 1 3 4 8 485
Tests for Deterministic Versus Indeterministic Cycles 0 0 0 3 0 0 0 5
Tests of strict stationarity based on quantile indicators 0 0 0 25 4 5 6 92
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 1 1 17 1 2 3 60
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 5 5 913
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 0 0 103 1 2 4 319
The estimation of dynamic models with missing observations 0 0 0 0 1 3 3 16
The local quadratic trend model 1 2 4 118 3 5 7 492
Time Series Models for Count or Qualitative Observations 0 0 0 0 1 3 6 502
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 0 1 2 311
Time-Varying Parameters in Econometrics: The editor’s foreword 0 2 2 4 2 5 9 16
Time-series models with an EGB2 conditional distribution 0 0 0 12 1 5 6 70
Tracking a changing copula 0 0 0 121 2 4 5 250
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 6 12 30 1,377
Trends and cycles in economic time series: A Bayesian approach 0 0 2 279 1 3 13 621
Trends, Cycles and Autoregressions 0 0 1 296 0 0 3 536
Unobserved component time series models with Arch disturbances 0 0 1 649 1 6 9 1,152
Volatility Modeling with a Generalized t Distribution 0 0 0 11 3 6 7 48
When is a Copula Constant? A Test for Changing Relationships 0 0 1 81 3 3 4 225
Total Journal Articles 3 25 117 11,468 176 389 776 40,839

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 3 19 21 151
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 1 8 15 313
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 15 31 66 2,289
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 9 17 62 1,373
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 2 9 49 1,251
Total Books 0 0 0 0 30 84 213 5,377

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 1 5 790
Forecasting with Unobserved Components Time Series Models 2 2 9 873 5 7 27 2,889
James Durbin (1923–2012) 0 0 0 0 0 2 11 17
MESSY TIME SERIES 0 0 0 0 0 1 1 2
Trends, Cycles, and Convergence 0 0 0 76 1 2 2 272
Total Chapters 2 2 9 1,093 6 13 46 3,970

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Statistics updated 2026-01-09