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 |