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 2 3 107
Beta-t-(E)GARCH 3 13 28 1,255 5 38 79 2,689
Co-integration and control: assessing the impact of events using time series data 0 0 2 80 0 3 7 82
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 3 11 14 637
Convergence and Cycles in the Euro Zone 0 0 0 163 1 4 5 378
Convergences of prices and rates of inflation 0 0 0 211 0 5 9 577
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 0 374 4 11 13 1,241
Cyclical components in economic time series 0 0 0 98 0 2 5 204
Cyclical components in economic time series: A Bayesian approach 0 0 0 160 4 13 13 583
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 3 6 53
Dynamic Tobit models 0 0 1 162 1 8 15 289
Dynamic distributions and changing copulas 1 1 1 298 3 10 12 556
EGARCH models with fat tails, skewness and leverage 0 0 1 255 1 4 12 536
Estimation and Testing of Stochastic Variance Models 0 0 0 0 0 11 17 226
Exponential Conditional Volatility Models 0 3 4 429 4 13 18 781
Exponential conditional volatility models 0 2 3 92 1 12 18 215
Filtering with heavy tails 0 0 1 155 2 7 13 277
Forecasting epidemic trajectories: Time Series Growth Curves package tsgc 0 0 0 12 0 3 6 14
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 0 1 4 1,207 2 15 20 2,400
Growth, Cycles and Convergence in US Regional Time Series 0 0 1 344 1 3 8 1,008
Hidden Threshold Models with applications to asymmetric cycles 1 1 2 30 2 6 9 35
Inflation convergence and divergence within the European Monetary Union 1 1 1 351 3 13 18 1,107
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 60 0 6 9 213
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 3 6 118
Modeling directional (circular) time series 0 0 0 95 2 6 8 144
Modeling the Interactions between Volatility and Returns 0 0 0 174 1 3 7 319
Modeling the Phillips curve with unobserved components 0 0 0 695 0 5 10 1,319
Modeling time series with zero observations 0 0 0 131 0 13 16 246
Models for Converging Economies 0 0 0 381 0 13 23 1,087
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 6 10 134
Multivariate Unit Root Tests and Testing for Convergence 0 0 1 803 2 7 20 1,881
Quantiles, Expectiles and Splines 0 0 0 122 2 23 27 308
Quantiles, Expectiles and Splines 0 0 0 414 0 7 8 1,193
Regime switching models for directional and linear observations 0 0 1 52 0 3 7 69
Score-Driven Models for Realized Volatility 1 1 2 160 1 6 21 305
Score-driven time series models 0 0 1 89 1 10 21 99
Seasonality in Dynamic Regression Models 0 0 0 0 0 8 12 336
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 3 4 34
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 1 7 10 76
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 0 3 3 13
Stochastic Volatility 0 1 6 478 0 19 28 1,660
Stochastic Volatility 0 2 9 2,092 6 18 42 4,836
Stochastic Volatility 0 0 0 8 1 15 36 3,548
Stochastic Volatility 0 0 0 3 0 13 20 1,662
Stochastic Volatility 0 0 0 37 0 11 17 259
Testing against Changing Correlation 0 0 0 92 1 8 13 161
Testing for Drift in a Time Series 0 0 1 986 7 20 36 3,670
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 1 28
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 4 6 30
Testing for the presence of a random walk in series with structural breaks 0 0 0 7 0 4 4 40
Testing for trend 0 0 0 492 0 7 13 1,493
Tests of Common Stochastic Trends 0 0 0 0 1 3 6 1,714
Tests of time-invariance 0 0 0 102 0 5 7 330
Tests of time-invariance 0 0 0 246 1 5 7 1,273
The Dyanamic Location/Scale Model: with applications to intra-day financial data 0 1 5 351 0 4 17 626
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 7 15 51
Time series modeling of epidemics: leading indicators, control groups and policy assessment 0 0 0 9 1 5 10 34
Time series models for epidemics: leading indicators, control groups and policy assessment 0 0 0 65 1 9 16 67
Time series models with an EGB2 conditional distribution 0 0 0 70 1 11 18 206
Time series models with an EGB2 conditional distribution 0 0 1 41 1 7 14 144
Time-Varying Quantiles 0 0 0 377 1 8 9 757
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 0 5 15 658
Trend, Seasonality and Seasonal Adjustment 0 0 2 98 1 2 7 111
Trends and cycles in economic time series: A Bayesian approach 0 1 1 226 0 3 5 434
Trends, Cycles and Convergence 0 0 0 437 3 7 11 770
Two EGARCH models and one fat tail 0 0 0 35 0 3 10 97
Two EGARCH models and one fat tail 0 0 0 79 0 5 8 132
Volatility Modeling with a Generalized t-distribution 0 0 1 113 1 1 7 186
When is a copula constant? A test for changing relationships 0 0 0 253 3 6 9 601
Total Working Papers 7 28 80 15,882 79 545 949 47,467

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 1 6 8 250
A Note on Common Cycles, Common Trends, and Convergence 0 0 1 184 0 3 8 480
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 2 2 131
A comparison of the power of some tests for heteroskedasticity in the general linear model 0 0 1 118 1 2 4 232
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 0 5 10 62
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 0 0 2 25 3 9 15 63
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 0 0 3 21 0 1 6 69
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 3 6 127
Cointegration and control: Assessing the impact of events using time series data 0 0 6 35 0 3 20 123
Computing observation weights for signal extraction and filtering 0 2 8 199 3 14 35 499
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 1 121 1 5 10 449
Continuous time autoregressive models with common stochastic trends 0 0 1 74 0 6 9 163
Convergence in the trends and cycles of Euro-zone income 0 0 0 294 1 5 8 765
Convergence in the trends and cycles of Euro‐zone income 0 0 1 1 0 11 14 18
Convergence of Prices and Rates of Inflation* 0 0 0 114 1 17 18 330
Detrending, Stylized Facts and the Business Cycle 0 1 10 1,263 1 7 31 3,630
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 3 12 15 794
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 0 4 0 4 4 12
EGARCH models with fat tails, skewness and leverage 0 1 2 50 5 12 17 182
Estimating Regression Models with Multiplicative Heteroscedasticity 0 0 4 806 1 5 13 1,842
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 0 3 8 73
Estimating the underlying change in unemployment in the UK 0 0 0 105 2 9 11 245
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 2 8 21 932
Estimation of simultaneous equation models with stochastic trend components 0 0 0 34 1 4 7 126
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 1 7 1 4 9 33
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 69 0 4 4 173
Filtering With Heavy Tails 0 0 2 102 1 5 13 222
Finite Sample Prediction from Arima Processes 0 0 1 6 1 6 9 25
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 5 10 19 975
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 5 10 15 413
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 0 5 0 1 2 27
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 0 1 4 414 1 16 27 982
Growth, cycles and convergence in US regional time series 0 0 0 74 1 4 8 248
Inflation Convergence and Divergence within the European Monetary Union 0 0 0 228 2 12 27 654
Kernel density estimation for time series data 0 0 8 128 2 12 43 450
Linear Regression in the Frequency Domain 0 0 1 258 1 4 6 659
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 68 0 5 6 361
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 0 12 0 2 6 55
Modeling time series when some observations are zero 0 0 3 170 1 12 26 932
Modelling circular time series 0 0 2 10 2 9 19 43
Modelling the Phillips curve with unobserved components 0 0 1 160 0 4 8 335
Multivariate Stochastic Variance Models 1 1 2 1,459 3 9 25 3,528
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 2 2 2 13 6 12 14 43
On Comparing Regression Models in Levels and First Differences 0 0 0 1,128 1 6 9 2,624
Quantiles, expectiles and splines 0 0 0 124 1 5 6 337
Regime switching models for circular and linear time series 0 0 8 14 3 9 26 44
Review of '4thought' 0 0 0 30 1 3 4 104
Robust time series models with trend and seasonal components 0 0 0 12 1 6 8 66
Score-driven models for realized volatility 0 0 2 4 3 11 24 36
Seasonality Tests 0 0 0 5 3 10 18 1,504
Seasonality in Dynamic Regression Models 0 0 0 354 2 8 9 1,194
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 0 2 3 426
Signal extraction and the formulation of unobserved components models 0 0 0 4 1 7 9 1,470
Some Comments on Multicollinearity in Regression 0 0 0 4 0 1 3 13
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 0 0 111 0 1 4 300
Structural time series models in inventory control 0 0 0 134 1 6 10 425
TESTING FOR TREND 0 0 0 99 2 7 15 261
TESTS OF COMMON STOCHASTIC TRENDS 0 0 0 175 3 34 38 362
TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT 0 0 0 4 0 0 2 14
TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 0 0 1 4 0 3 5 15
Testing against changing correlation 0 0 0 11 0 2 4 64
Testing against smooth stochastic trends 0 0 0 269 1 4 7 1,119
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations 0 0 0 0 0 1 4 220
Testing for Serial Correlation in Simultaneous Equation Models 0 0 0 56 1 3 6 205
Testing for a slowly changing level with special reference to stochastic volatility 0 0 0 39 1 4 8 136
Testing for functional misspecification in regression analysis 0 0 12 272 2 4 25 710
Testing for heteroscedasticity in simultaneous equation models 0 0 0 66 0 2 7 162
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 23 2 5 7 71
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 0 3 1 2 4 13
Testing in Unobserved Components Models 0 0 0 1 0 6 10 488
Tests for Deterministic Versus Indeterministic Cycles 0 0 0 3 1 3 3 8
Tests of strict stationarity based on quantile indicators 0 0 0 25 1 8 10 96
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 0 1 17 0 3 5 62
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 6 10 918
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 0 4 6 322
The estimation of dynamic models with missing observations 0 0 0 0 2 3 5 18
The local quadratic trend model 0 1 4 118 0 5 9 494
Time Series Models for Count or Qualitative Observations 0 0 0 0 1 5 9 506
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 0 3 4 314
Time-Varying Parameters in Econometrics: The editor’s foreword 0 1 3 5 3 11 16 25
Time-series models with an EGB2 conditional distribution 0 0 0 12 0 1 5 70
Tracking a changing copula 0 0 0 121 0 2 5 250
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 1 14 32 1,385
Trends and cycles in economic time series: A Bayesian approach 0 1 2 280 1 12 22 632
Trends, Cycles and Autoregressions 0 0 1 296 2 3 5 539
Unobserved component time series models with Arch disturbances 0 0 1 649 0 6 13 1,157
Volatility Modeling with a Generalized t Distribution 0 0 0 11 0 6 10 51
When is a Copula Constant? A Test for Changing Relationships 0 0 0 81 0 7 7 229
Total Journal Articles 3 11 102 11,476 101 551 1,037 41,214

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 19 319
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 3 9 26 157
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 8 39 84 2,313
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 13 33 73 1,397
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 8 16 54 1,265
Total Books 0 0 0 0 34 104 256 5,451

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 3 6 793
Forecasting with Unobserved Components Time Series Models 0 2 8 873 1 8 23 2,892
James Durbin (1923–2012) 0 0 0 0 0 7 17 24
MESSY TIME SERIES 0 0 0 0 0 2 3 4
Trends, Cycles, and Convergence 0 0 0 76 3 6 7 277
Total Chapters 0 2 8 1,093 4 26 56 3,990

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Statistics updated 2026-03-04