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 41 0 1 4 94
Beta-t-(E)GARCH 5 15 95 785 16 42 202 1,614
Co-integration and control: assessing the impact of events using time series data 1 3 5 63 2 6 16 35
Computing Observation Weights for Signal Extraction and Filtering 0 1 2 258 0 1 6 600
Convergence and Cycles in the Euro Zone 0 0 0 162 0 1 5 352
Convergences of prices and rates of inflation 0 0 1 208 0 1 8 540
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 1 372 1 2 7 1,209
Cyclical components in economic time series 0 0 0 91 1 2 6 173
Cyclical components in economic time series: A Bayesian approach 0 0 1 159 1 2 4 559
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 1 30
Dynamic Tobit models 3 9 90 90 8 21 84 84
Dynamic distributions and changing copulas 0 0 0 294 0 0 1 526
EGARCH models with fat tails, skewness and leverage 0 1 10 229 0 3 27 443
Estimation and Testing of Stochastic Variance Models 0 0 0 0 2 5 22 93
Exponential Conditional Volatility Models 1 2 27 370 2 6 43 656
Exponential conditional volatility models 0 0 1 87 1 3 11 175
Filtering with heavy tails 0 1 9 120 2 4 21 179
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 0 3 11 1,158 1 5 28 2,267
Growth, Cycles and Convergence in US Regional Time Series 0 2 3 341 1 4 9 989
Inflation convergence and divergence within the European Monetary Union 0 1 2 345 0 2 7 1,064
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 60 0 0 0 195
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 0 8 50
Modeling directional (circular) time series 26 50 50 50 15 27 27 27
Modeling the Interactions between Volatility and Returns 0 0 7 104 3 3 17 143
Modeling the Phillips curve with unobserved components 0 2 9 673 1 3 18 1,245
Modeling time series with zero observations 0 4 13 116 7 25 80 166
Models for Converging Economies 0 2 5 376 0 3 13 1,023
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 3 14 36 60
Multivariate Unit Root Tests and Testing for Convergence 0 3 18 745 4 14 40 1,699
Quantiles, Expectiles and Splines 1 1 1 410 1 2 6 1,141
Quantiles, Expectiles and Splines 0 0 0 118 1 1 14 255
Score-Driven Models for Realized Volatility 10 24 48 48 17 38 51 51
Seasonality in Dynamic Regression Models 0 0 0 0 0 2 15 301
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 2 3 19
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 15 2 3 4 48
Stochastic Volatility 0 0 1 29 2 4 15 190
Stochastic Volatility 0 0 0 8 7 20 93 3,160
Stochastic Volatility 1 6 26 413 4 11 62 1,465
Stochastic Volatility 0 0 0 3 1 1 11 1,570
Stochastic Volatility 0 0 10 2,046 2 7 39 4,652
Testing against Changing Correlation 0 0 1 84 5 5 12 110
Testing for Drift in a Time Series 3 6 22 907 11 29 123 3,037
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 1 6 19
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 5 0 0 1 18
Testing for the presence of a random walk in series with structural breaks 0 0 0 4 2 2 2 21
Testing for trend 0 0 1 478 0 0 3 1,431
Tests of Common Stochastic Trends 0 0 0 0 0 0 7 1,680
Tests of time-invariance 0 0 0 101 0 0 3 292
Tests of time-invariance 0 1 3 239 2 4 18 1,171
The Dyanamic Location/Scale Model: with applications to intra-day financial data 2 4 28 284 4 12 45 502
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 2 5 20
Time series models with an EGB2 conditional distribution 0 0 3 65 1 5 9 150
Time series models with an EGB2 conditional distribution 0 0 1 33 0 2 8 85
Time-Varying Quantiles 0 1 6 365 1 7 21 703
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 0 0 2 615
Trend, Seasonality and Seasonal Adjustment 0 0 2 86 1 2 9 85
Trends and cycles in economic time series: A Bayesian approach 0 0 7 209 1 2 11 393
Trends, Cycles and Convergence 0 0 0 429 0 1 4 735
Two EGARCH models and one fat tail 0 0 3 30 0 0 10 66
Two EGARCH models and one fat tail 0 0 1 78 0 0 4 110
Volatility Modeling with a Generalized t-distribution 1 2 5 94 2 4 15 122
When is a copula constant? A test for changing relationships 0 0 2 247 1 1 9 558
Total Working Papers 54 144 531 14,129 139 370 1,391 41,065


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 1 3 119 2 3 7 234
A Note on Common Cycles, Common Trends, and Convergence 0 1 1 179 0 1 4 447
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 0 126
A comparison of the power of some tests for heteroskedasticity in the general linear model 0 0 1 101 0 0 3 195
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 0 0 0 47
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 0 0 0 0 0 0 1 1
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 1 1 1 13 1 1 5 49
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 0 111
Computing observation weights for signal extraction and filtering 0 1 3 150 0 7 21 352
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 0 117 0 0 1 431
Continuous time autoregressive models with common stochastic trends 0 0 0 71 0 2 2 147
Convergence in the trends and cycles of Euro-zone income 0 2 5 286 4 7 16 725
Convergence of Prices and Rates of Inflation* 0 0 1 106 1 2 5 290
Detrending, Stylized Facts and the Business Cycle 1 3 26 1,158 7 16 70 3,327
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 4 6 728
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 3 3 0 0 3 3
EGARCH models with fat tails, skewness and leverage 1 2 9 31 4 6 21 107
Estimating Regression Models with Multiplicative Heteroscedasticity 0 4 35 709 0 6 75 1,600
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 0 0 0 62
Estimating the underlying change in unemployment in the UK 0 0 2 97 1 1 6 209
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 2 4 8 869
Estimation of simultaneous equation models with stochastic trend components 0 0 0 32 0 0 0 109
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 0 0 0 0 0 0
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 66 2 2 3 161
Filtering With Heavy Tails 2 3 11 38 2 6 23 80
Finite Sample Prediction from Arima Processes 0 0 0 0 0 0 0 0
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 2 9 20 867
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 2 2 3 363
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 1 3 0 1 2 11
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 2 2 22 330 2 5 35 773
Growth, cycles and convergence in US regional time series 0 2 3 72 0 3 4 215
Inflation Convergence and Divergence within the European Monetary Union 0 2 17 207 3 11 47 529
Kernel density estimation for time series data 2 5 14 31 4 9 35 105
Linear Regression in the Frequency Domain 1 1 7 232 3 5 26 598
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 65 0 1 4 332
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 1 1 0 2 10 10
Modelling the Phillips curve with unobserved components 3 3 4 150 5 5 10 298
Multivariate Stochastic Variance Models 0 3 13 1,401 3 9 48 3,319
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 0 1 1 0 0 1 1
On Comparing Regression Models in Levels and First Differences 0 4 15 1,056 2 10 28 2,468
Quantiles, expectiles and splines 0 0 7 111 2 4 20 272
Review of '4thought' 0 0 0 30 0 0 0 97
Robust time series models with trend and seasonal components 1 1 1 8 3 3 5 35
Seasonality Tests 0 0 0 5 0 0 1 1,436
Seasonality in Dynamic Regression Models 0 0 2 350 0 1 7 1,164
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 0 0 3 407
Signal extraction and the formulation of unobserved components models 0 0 0 4 1 1 2 1,449
Some Comments on Multicollinearity in Regression 0 0 0 0 0 0 0 0
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 1 2 6 104 3 4 21 268
Structural time series models in inventory control 0 0 0 127 1 1 1 396
TESTING FOR TREND 0 0 1 97 1 3 6 231
TESTS OF COMMON STOCHASTIC TRENDS 1 1 5 147 1 3 14 253
Testing against changing correlation 0 0 0 6 4 4 13 44
Testing against smooth stochastic trends 0 0 0 268 0 0 0 1,103
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations 0 0 0 0 0 0 1 204
Testing for Serial Correlation in Simultaneous Equation Models 0 0 2 52 0 0 2 184
Testing for a slowly changing level with special reference to stochastic volatility 0 0 1 37 0 0 3 111
Testing for functional misspecification in regression analysis 2 4 7 183 4 7 14 546
Testing for heteroscedasticity in simultaneous equation models 0 0 0 65 0 0 0 138
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 22 0 0 1 59
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 0 0 0 0 0 0
Testing in Unobserved Components Models 0 0 0 1 1 3 6 451
Tests for Deterministic Versus Indeterministic Cycles 0 0 0 0 0 0 0 0
Tests of strict stationarity based on quantile indicators 0 0 3 22 0 0 5 74
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 1 1 12 1 2 2 41
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 4 13 35 852
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 94 3 3 5 284
The estimation of dynamic models with missing observations 0 0 0 0 1 1 2 3
The local quadratic trend model 1 1 3 107 1 4 13 389
Time Series Models for Count or Qualitative Observations 0 0 0 0 1 1 4 470
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 0 1 10 281
Time-series models with an EGB2 conditional distribution 0 0 0 9 2 2 5 39
Tracking a changing copula 0 0 4 116 0 0 6 229
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 3 8 43 1,200
Trends and cycles in economic time series: A Bayesian approach 0 0 5 244 4 6 26 504
Trends, Cycles and Autoregressions 0 1 1 287 1 2 6 509
Unobserved component time series models with Arch disturbances 0 2 10 616 2 9 29 1,050
Volatility Modeling with a Generalized t Distribution 0 0 0 5 0 2 2 12
When is a Copula Constant? A Test for Changing Relationships 0 0 2 76 0 2 7 202
Total Journal Articles 19 53 261 10,086 98 230 873 35,286


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 6 23 83
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 0 2 13 48
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 11 24 90 855
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 29 93 312 1,310
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 16 50 126 715
Total Books 0 0 0 0 58 175 564 3,011


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 3 5 13 131 10 22 94 663
Forecasting with Unobserved Components Time Series Models 1 6 17 746 9 30 107 2,532
Trends, Cycles, and Convergence 1 3 4 67 2 10 27 190
Total Chapters 5 14 34 944 21 62 228 3,385


Statistics updated 2019-10-05