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 8 30 1,236 3 16 57 2,629
Co-integration and control: assessing the impact of events using time series data 0 2 2 80 0 2 4 77
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 0 0 1 623
Convergence and Cycles in the Euro Zone 0 0 0 163 0 0 9 373
Convergences of prices and rates of inflation 0 0 0 211 0 0 4 568
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 0 374 1 1 3 1,229
Cyclical components in economic time series 0 0 1 98 0 2 4 201
Cyclical components in economic time series: A Bayesian approach 0 0 0 160 0 0 1 570
Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) 0 0 0 0 0 2 3 49
Dynamic Tobit models 0 1 2 162 0 3 14 277
Dynamic distributions and changing copulas 0 0 0 297 0 0 2 544
EGARCH models with fat tails, skewness and leverage 1 1 3 255 1 1 4 525
Estimation and Testing of Stochastic Variance Models 0 0 0 0 0 4 10 213
Exponential Conditional Volatility Models 0 1 6 426 1 3 9 766
Exponential conditional volatility models 0 1 1 90 0 1 2 198
Filtering with heavy tails 0 0 1 154 0 0 2 264
Forecasting epidemic trajectories: Time Series Growth Curves package tsgc 0 0 0 12 0 0 2 8
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 1 1 6 1,205 1 1 13 2,382
Growth, Cycles and Convergence in US Regional Time Series 1 1 2 344 1 1 2 1,001
Hidden Threshold Models with applications to asymmetric cycles 0 0 28 28 0 1 28 28
Inflation convergence and divergence within the European Monetary Union 0 0 0 350 0 0 2 1,089
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 2 5 114
Modeling directional (circular) time series 0 0 3 95 0 0 5 136
Modeling the Interactions between Volatility and Returns 0 0 1 174 0 1 2 313
Modeling the Phillips curve with unobserved components 0 0 0 695 0 2 6 1,311
Modeling time series with zero observations 0 0 1 131 0 0 3 230
Models for Converging Economies 0 0 0 381 0 0 4 1,067
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 7 126
Multivariate Unit Root Tests and Testing for Convergence 0 0 7 802 1 1 20 1,862
Quantiles, Expectiles and Splines 0 0 0 414 0 1 1 1,186
Quantiles, Expectiles and Splines 0 0 0 122 0 0 2 281
Regime switching models for directional and linear observations 0 0 1 51 1 1 4 64
Score-Driven Models for Realized Volatility 0 0 2 158 0 0 6 286
Score-driven time series models 0 0 2 88 0 0 4 79
Seasonality in Dynamic Regression Models 0 0 0 0 0 0 1 324
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 0 1 30
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 0 0 1 66
Signal Extraction and the Formulation of Unobserved Components Models 0 0 1 1 0 0 2 10
Stochastic Volatility 0 0 0 37 0 0 2 242
Stochastic Volatility 0 2 5 475 0 4 13 1,637
Stochastic Volatility 0 3 6 2,087 2 5 18 4,803
Stochastic Volatility 0 0 0 3 0 0 8 1,642
Stochastic Volatility 0 0 0 8 2 9 31 3,522
Testing against Changing Correlation 0 0 0 92 0 1 5 150
Testing for Drift in a Time Series 0 0 5 985 0 3 17 3,638
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 0 1 2 25
Testing for the presence of a random walk in series with structural breaks 0 0 1 7 0 0 2 36
Testing for trend 0 0 0 492 1 1 5 1,482
Tests of Common Stochastic Trends 0 0 0 0 0 0 1 1,708
Tests of time-invariance 0 0 1 246 0 0 3 1,266
Tests of time-invariance 0 0 0 102 0 0 2 323
The Dyanamic Location/Scale Model: with applications to intra-day financial data 0 1 9 347 1 5 17 614
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 3 7 42
Time series modeling of epidemics: leading indicators, control groups and policy assessment 0 0 0 9 0 1 3 26
Time series models for epidemics: leading indicators, control groups and policy assessment 0 0 0 65 0 0 1 52
Time series models with an EGB2 conditional distribution 0 0 0 70 0 0 0 188
Time series models with an EGB2 conditional distribution 1 1 1 41 2 3 7 133
Time-Varying Quantiles 0 0 0 377 0 0 4 748
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 0 3 6 648
Trend, Seasonality and Seasonal Adjustment 0 0 1 97 0 1 2 106
Trends and cycles in economic time series: A Bayesian approach 0 0 1 225 0 0 2 429
Trends, Cycles and Convergence 0 0 1 437 0 1 4 761
Two EGARCH models and one fat tail 0 0 1 79 0 0 1 124
Two EGARCH models and one fat tail 0 0 0 35 0 1 1 88
Volatility Modeling with a Generalized t-distribution 1 1 2 113 1 3 5 183
When is a copula constant? A test for changing relationships 0 0 0 253 0 0 1 592
Total Working Papers 5 24 134 15,831 21 93 420 46,642


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 0 0 242
A Note on Common Cycles, Common Trends, and Convergence 0 1 1 184 0 1 4 474
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 1 2 118 0 1 2 229
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 0 0 1 52
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 1 1 8 25 1 2 14 51
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 0 3 4 21 0 3 6 67
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 1 121
Cointegration and control: Assessing the impact of events using time series data 0 2 7 33 2 6 21 113
Computing observation weights for signal extraction and filtering 0 2 10 195 2 7 30 473
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 0 154
Convergence in the trends and cycles of Euro-zone income 0 0 2 294 0 0 7 757
Convergence in the trends and cycles of Euro‐zone income 0 0 0 0 0 0 1 5
Convergence of Prices and Rates of Inflation* 0 0 1 114 1 1 5 313
Detrending, Stylized Facts and the Business Cycle 0 6 12 1,259 4 14 31 3,614
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 1 1 9 780
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 0 4 0 0 0 8
EGARCH models with fat tails, skewness and leverage 1 1 5 49 1 1 8 166
Estimating Regression Models with Multiplicative Heteroscedasticity 0 2 5 805 1 4 13 1,834
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 0 1 2 66
Estimating the underlying change in unemployment in the UK 0 0 2 105 0 0 5 235
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 1 6 11 919
Estimation of simultaneous equation models with stochastic trend components 0 0 0 34 0 0 2 119
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 0 6 0 0 3 24
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 69 0 0 0 169
Filtering With Heavy Tails 0 0 3 100 0 2 10 211
Finite Sample Prediction from Arima Processes 0 0 2 5 0 0 4 16
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 0 0 4 956
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 0 1 3 399
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 1 5 0 0 3 25
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 0 0 19 410 1 2 35 958
Growth, cycles and convergence in US regional time series 0 0 0 74 0 0 3 241
Inflation Convergence and Divergence within the European Monetary Union 0 0 1 228 0 0 4 627
Kernel density estimation for time series data 2 3 10 123 4 8 35 420
Linear Regression in the Frequency Domain 0 0 0 257 0 0 2 653
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 1 68 0 0 3 355
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 0 12 0 0 2 49
Modeling time series when some observations are zero 0 1 11 169 1 5 49 914
Modelling circular time series 0 0 4 9 1 3 17 28
Modelling the Phillips curve with unobserved components 0 0 2 160 1 1 4 329
Multivariate Stochastic Variance Models 0 0 5 1,457 0 0 12 3,504
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 0 2 11 0 0 5 29
On Comparing Regression Models in Levels and First Differences 0 0 1 1,128 0 0 2 2,615
Quantiles, expectiles and splines 0 0 0 124 0 0 2 331
Regime switching models for circular and linear time series 0 1 3 7 3 5 12 23
Review of '4thought' 0 0 0 30 0 0 1 100
Robust time series models with trend and seasonal components 0 0 0 12 1 1 4 59
Score-driven models for realized volatility 0 1 2 3 0 1 9 13
Seasonality Tests 0 0 0 5 0 1 11 1,490
Seasonality in Dynamic Regression Models 0 0 0 354 0 0 4 1,185
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 0 0 0 423
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 1 1,461
Some Comments on Multicollinearity in Regression 0 0 0 4 0 0 0 10
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 0 0 111 1 1 2 297
Structural time series models in inventory control 0 0 0 134 0 0 4 415
TESTING FOR TREND 0 0 0 99 0 0 1 246
TESTS OF COMMON STOCHASTIC TRENDS 0 0 2 175 0 0 4 324
TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT 0 0 1 4 0 0 3 12
TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 1 1 1 4 1 1 3 11
Testing against changing correlation 0 0 1 11 0 0 1 60
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 0 216
Testing for Serial Correlation in Simultaneous Equation Models 0 0 0 56 0 0 1 199
Testing for a slowly changing level with special reference to stochastic volatility 0 0 0 39 0 0 1 128
Testing for functional misspecification in regression analysis 0 5 12 265 1 8 20 693
Testing for heteroscedasticity in simultaneous equation models 0 0 0 66 0 1 4 157
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 23 0 0 2 65
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 0 3 0 0 0 9
Testing in Unobserved Components Models 0 0 0 1 1 2 5 480
Tests for Deterministic Versus Indeterministic Cycles 0 0 1 3 0 0 1 5
Tests of strict stationarity based on quantile indicators 0 0 0 25 0 1 1 87
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 0 0 16 0 0 1 58
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 0 4 908
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 1 103 0 0 4 316
The estimation of dynamic models with missing observations 0 0 0 0 0 0 0 13
The local quadratic trend model 1 1 2 115 1 1 4 486
Time Series Models for Count or Qualitative Observations 0 0 0 0 1 1 3 498
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 0 0 1 310
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 1 2 0 1 7 10
Time-series models with an EGB2 conditional distribution 0 0 0 12 0 0 1 65
Tracking a changing copula 0 0 0 121 0 0 0 245
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 0 6 26 1,361
Trends and cycles in economic time series: A Bayesian approach 0 0 1 278 0 3 10 613
Trends, Cycles and Autoregressions 0 0 1 295 0 1 4 535
Unobserved component time series models with Arch disturbances 0 0 0 648 0 0 2 1,144
Volatility Modeling with a Generalized t Distribution 0 0 2 11 1 1 5 42
When is a Copula Constant? A Test for Changing Relationships 0 0 2 81 0 0 3 222
Total Journal Articles 6 32 154 11,415 33 106 545 40,319


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 2 18 302
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 0 0 1 131
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 3 8 29 2,240
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 4 11 72 1,341
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 4 13 73 1,229
Total Books 0 0 0 0 11 34 193 5,243


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 2 787
Forecasting with Unobserved Components Time Series Models 1 5 8 870 1 9 26 2,878
James Durbin (1923–2012) 0 0 0 0 0 1 2 8
MESSY TIME SERIES 0 0 0 0 0 0 0 1
Trends, Cycles, and Convergence 0 0 0 76 0 0 2 270
Total Chapters 1 5 8 1,090 1 10 32 3,944


Statistics updated 2025-07-04