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 0 0 0 104
Beta-t-(E)GARCH 0 5 63 1,181 4 29 159 2,506
Co-integration and control: assessing the impact of events using time series data 0 0 1 75 0 0 1 68
Computing Observation Weights for Signal Extraction and Filtering 1 1 1 260 1 1 3 622
Convergence and Cycles in the Euro Zone 0 0 0 163 0 0 0 364
Convergences of prices and rates of inflation 0 0 3 211 0 0 5 563
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 0 374 0 1 1 1,226
Cyclical components in economic time series 0 0 1 97 0 0 7 197
Cyclical components in economic time series: A Bayesian approach 0 0 0 160 0 0 2 569
Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) 0 0 0 0 0 0 3 45
Dynamic Tobit models 0 0 6 159 1 1 14 259
Dynamic distributions and changing copulas 0 0 0 297 0 0 1 542
EGARCH models with fat tails, skewness and leverage 0 0 2 252 1 1 16 521
Estimation and Testing of Stochastic Variance Models 0 0 0 0 0 3 14 193
Exponential Conditional Volatility Models 0 2 7 418 1 4 12 754
Exponential conditional volatility models 0 0 0 89 0 0 1 196
Filtering with heavy tails 0 1 1 152 1 2 4 260
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 0 1 7 1,197 1 3 15 2,361
Growth, Cycles and Convergence in US Regional Time Series 0 0 0 342 0 0 0 999
Inflation convergence and divergence within the European Monetary Union 0 1 1 350 0 1 2 1,086
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 60 0 0 0 204
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 3 10 105
Modeling directional (circular) time series 2 2 6 91 2 3 8 129
Modeling the Interactions between Volatility and Returns 0 0 4 173 1 2 14 306
Modeling the Phillips curve with unobserved components 0 1 6 693 0 1 12 1,303
Modeling time series with zero observations 0 0 0 129 0 0 2 226
Models for Converging Economies 0 0 0 381 0 0 1 1,061
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 0 1 7 118
Multivariate Unit Root Tests and Testing for Convergence 0 2 17 794 2 4 34 1,840
Quantiles, Expectiles and Splines 0 0 0 414 1 2 5 1,184
Quantiles, Expectiles and Splines 0 0 1 122 0 0 2 279
Regime switching models for directional and linear observations 0 1 4 47 0 2 9 56
Score-Driven Models for Realized Volatility 3 5 12 155 6 9 27 278
Score-driven time series models 0 0 4 84 1 2 11 69
Seasonality in Dynamic Regression Models 0 0 0 0 0 1 1 322
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 0 0 29
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 19 0 0 0 64
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 0 0 0 1 8
Stochastic Volatility 0 0 0 3 0 2 6 1,629
Stochastic Volatility 0 0 1 36 0 0 2 234
Stochastic Volatility 1 1 2 2,080 1 1 10 4,780
Stochastic Volatility 0 0 0 8 4 6 31 3,474
Stochastic Volatility 1 2 4 467 1 3 13 1,617
Testing against Changing Correlation 1 1 2 92 1 1 4 145
Testing for Drift in a Time Series 2 3 10 978 3 9 52 3,601
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 1 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 0 0 0 23
Testing for the presence of a random walk in series with structural breaks 0 0 0 6 0 0 0 34
Testing for trend 0 0 1 491 0 0 1 1,476
Tests of Common Stochastic Trends 0 0 0 0 0 0 5 1,706
Tests of time-invariance 0 0 1 102 0 2 9 317
Tests of time-invariance 0 0 0 245 0 0 2 1,263
The Dyanamic Location/Scale Model: with applications to intra-day financial data 0 0 7 333 1 2 10 588
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 1 1 1 34
Time series modeling of epidemics: leading indicators, control groups and policy assessment 0 0 0 8 0 0 4 22
Time series models for epidemics: leading indicators, control groups and policy assessment 0 0 0 64 0 0 2 48
Time series models with an EGB2 conditional distribution 2 2 2 38 2 2 8 119
Time series models with an EGB2 conditional distribution 0 0 0 69 0 0 4 187
Time-Varying Quantiles 0 0 1 374 0 0 2 741
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 0 0 1 641
Trend, Seasonality and Seasonal Adjustment 0 0 1 96 0 0 2 104
Trends and cycles in economic time series: A Bayesian approach 0 3 7 223 2 5 12 426
Trends, Cycles and Convergence 0 0 1 436 0 0 2 756
Two EGARCH models and one fat tail 0 0 0 78 0 0 1 123
Two EGARCH models and one fat tail 0 0 0 34 0 0 0 86
Volatility Modeling with a Generalized t-distribution 0 0 3 111 0 1 7 175
When is a copula constant? A test for changing relationships 0 0 0 253 1 1 1 590
Total Working Papers 13 34 190 15,616 40 112 597 45,982


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 0 121 0 0 0 241
A Note on Common Cycles, Common Trends, and Convergence 0 0 2 183 0 1 3 470
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 0 129
A comparison of the power of some tests for heteroskedasticity in the general linear model 0 0 2 114 1 2 5 225
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 0 0 0 51
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 0 0 4 13 0 0 5 31
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 1 120
Cointegration and control: Assessing the impact of events using time series data 0 1 9 24 2 5 23 80
Computing observation weights for signal extraction and filtering 3 5 11 176 4 7 17 431
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 0 120 0 0 0 439
Continuous time autoregressive models with common stochastic trends 0 0 0 73 0 0 1 153
Convergence in the trends and cycles of Euro-zone income 0 0 0 290 0 0 2 748
Convergence in the trends and cycles of Euro‐zone income 0 0 0 0 0 0 0 3
Convergence of Prices and Rates of Inflation* 0 0 1 113 0 0 2 308
Detrending, Stylized Facts and the Business Cycle 1 3 25 1,238 2 10 52 3,564
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 1 2 7 768
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 0 4 0 0 0 7
EGARCH models with fat tails, skewness and leverage 0 0 0 44 3 5 10 156
Estimating Regression Models with Multiplicative Heteroscedasticity 1 1 9 796 2 7 33 1,810
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 0 0 0 64
Estimating the underlying change in unemployment in the UK 0 1 2 103 0 1 5 228
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 2 4 10 902
Estimation of simultaneous equation models with stochastic trend components 0 0 0 34 0 0 1 117
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 0 5 0 2 7 20
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 69 0 0 1 168
Filtering With Heavy Tails 0 0 6 94 0 2 8 195
Finite Sample Prediction from Arima Processes 1 1 1 2 1 2 3 11
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 0 3 20 949
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 1 2 10 393
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 0 3 0 0 1 21
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 1 6 13 385 3 9 28 907
Growth, cycles and convergence in US regional time series 0 0 0 74 1 1 11 238
Inflation Convergence and Divergence within the European Monetary Union 0 1 3 226 0 3 12 621
Kernel density estimation for time series data 2 3 18 106 6 11 42 363
Linear Regression in the Frequency Domain 0 0 2 253 1 1 7 645
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 67 0 1 2 352
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 0 11 1 1 4 46
Modeling time series when some observations are zero 2 5 33 145 9 25 135 804
Multivariate Stochastic Variance Models 0 0 3 1,452 0 1 10 3,485
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 0 4 9 0 0 7 23
On Comparing Regression Models in Levels and First Differences 2 8 19 1,124 4 11 31 2,606
Quantiles, expectiles and splines 0 0 1 124 0 1 5 328
Regime switching models for circular and linear time series 1 2 4 4 1 4 8 8
Review of '4thought' 0 0 0 30 0 0 0 99
Robust time series models with trend and seasonal components 0 0 0 12 0 1 2 55
Seasonality Tests 0 0 0 5 1 1 3 1,473
Seasonality in Dynamic Regression Models 0 1 2 354 0 2 4 1,180
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 0 0 1 423
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 0 1,460
Some Comments on Multicollinearity in Regression 0 0 0 4 0 0 2 10
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 0 1 110 0 0 2 294
Structural time series models in inventory control 0 1 1 134 0 1 1 411
TESTING FOR TREND 0 0 1 99 0 0 1 244
TESTS OF COMMON STOCHASTIC TRENDS 0 0 3 171 0 0 6 315
TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT 0 0 1 3 0 0 2 9
TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 0 0 1 2 0 0 2 7
Testing against changing correlation 0 0 0 10 0 0 2 59
Testing against smooth stochastic trends 0 0 0 269 0 0 0 1,112
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations 0 0 0 0 0 0 2 216
Testing for Serial Correlation in Simultaneous Equation Models 0 0 0 56 0 0 1 198
Testing for a slowly changing level with special reference to stochastic volatility 0 0 0 39 1 1 2 127
Testing for functional misspecification in regression analysis 0 0 15 242 2 3 27 661
Testing for heteroscedasticity in simultaneous equation models 0 0 1 66 0 1 3 151
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 23 0 0 0 63
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 1 3 0 0 1 9
Testing in Unobserved Components Models 0 0 0 1 0 0 4 472
Tests for Deterministic Versus Indeterministic Cycles 0 0 0 2 0 0 0 4
Tests of strict stationarity based on quantile indicators 0 0 0 25 0 0 1 86
The Estimation of Higher-Order Continuous Time Autoregressive Models 1 1 1 16 1 1 3 57
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 1 7 900
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 3 100 0 1 5 307
The estimation of dynamic models with missing observations 0 0 0 0 0 0 0 12
The local quadratic trend model 0 0 1 113 1 2 8 481
Time Series Models for Count or Qualitative Observations 0 0 0 0 0 0 6 493
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 1 1 2 309
Time-series models with an EGB2 conditional distribution 0 0 1 11 0 2 4 62
Tracking a changing copula 0 1 2 121 0 1 2 245
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 1 9 35 1,329
Trends and cycles in economic time series: A Bayesian approach 0 3 12 271 4 10 33 591
Trends, Cycles and Autoregressions 0 0 2 293 0 1 5 528
Unobserved component time series models with Arch disturbances 0 4 7 640 3 7 14 1,132
Volatility Modeling with a Generalized t Distribution 0 0 1 9 0 0 2 35
When is a Copula Constant? A Test for Changing Relationships 0 0 0 79 0 0 1 218
Total Journal Articles 15 49 229 10,972 61 170 725 39,065
2 registered items for which data could not be found


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 0 0 1 130
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 2 3 17 274
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 6 12 102 2,199
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 12 23 76 1,221
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 5 13 62 1,136
Total Books 0 0 0 0 25 51 258 4,960


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 1 143 0 0 3 784
Forecasting with Unobserved Components Time Series Models 0 3 21 852 0 6 44 2,826
James Durbin (1923–2012) 0 0 0 0 1 3 5 5
MESSY TIME SERIES 0 0 0 0 0 0 1 1
Trends, Cycles, and Convergence 0 0 1 76 0 1 4 268
Total Chapters 0 3 23 1,071 1 10 57 3,884


Statistics updated 2024-02-04