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 3 93
Beta-t-(E)GARCH 10 28 91 770 22 67 192 1,572
Computing Observation Weights for Signal Extraction and Filtering 0 1 1 257 0 3 5 599
Convergence and Cycles in the Euro Zone 0 0 0 162 1 1 4 351
Convergences of prices and rates of inflation 0 0 1 208 0 2 8 539
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 1 372 1 2 6 1,207
Cyclical components in economic time series 0 0 0 91 1 2 4 171
Cyclical components in economic time series: A Bayesian approach 0 0 1 159 0 1 3 557
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 4 30
Dynamic distributions and changing copulas 0 0 0 294 0 0 2 526
EGARCH models with fat tails, skewness and leverage 0 2 10 228 3 9 27 440
Estimation and Testing of Stochastic Variance Models 0 0 0 0 3 10 23 88
Exponential Conditional Volatility Models 3 6 30 368 5 14 45 650
Exponential conditional volatility models 0 0 1 87 1 2 9 172
Filtering with heavy tails 2 5 9 119 3 9 18 175
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 1 2 9 1,155 1 5 27 2,262
Growth, Cycles and Convergence in US Regional Time Series 0 0 3 339 0 2 8 985
Inflation convergence and divergence within the European Monetary Union 0 0 2 344 0 1 7 1,062
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 2 12 50
Modeling the Interactions between Volatility and Returns 0 3 11 104 1 5 22 140
Modeling the Phillips curve with unobserved components 0 1 9 671 0 3 20 1,242
Modeling time series with zero observations 2 6 13 112 5 18 74 141
Models for Converging Economies 1 2 6 374 2 4 14 1,020
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 10 26 46
Multivariate Unit Root Tests and Testing for Convergence 1 6 17 742 4 9 32 1,685
Quantiles, Expectiles and Splines 0 0 0 409 0 2 5 1,139
Quantiles, Expectiles and Splines 0 0 0 118 0 9 14 254
Seasonality in Dynamic Regression Models 0 0 0 0 0 3 14 299
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 1 2 17
Signal Extraction and the Formulation of Unobserved Components Models 0 0 1 15 0 1 2 45
Stochastic Volatility 4 6 10 2,046 10 17 38 4,645
Stochastic Volatility 0 0 0 3 3 4 12 1,569
Stochastic Volatility 4 10 28 407 16 26 63 1,454
Stochastic Volatility 0 1 1 29 3 4 13 186
Stochastic Volatility 0 0 0 8 20 43 101 3,140
Testing against Changing Correlation 0 0 2 84 0 1 8 105
Testing for Drift in a Time Series 4 5 17 901 10 30 101 3,008
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 5 18
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 1 5 0 0 2 18
Testing for the presence of a random walk in series with structural breaks 0 0 1 4 0 0 2 19
Testing for trend 0 1 2 478 0 1 4 1,431
Tests of Common Stochastic Trends 0 0 0 0 0 1 9 1,680
Tests of time-invariance 0 1 2 238 2 5 15 1,167
Tests of time-invariance 0 0 0 101 0 1 3 292
The Dyanamic Location/Scale Model: with applications to intra-day financial data 3 7 31 280 3 13 48 490
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 2 4 18
Time series models with an EGB2 conditional distribution 1 1 4 65 1 1 8 145
Time series models with an EGB2 conditional distribution 0 0 1 33 1 1 12 83
Time-Varying Quantiles 1 2 5 364 4 6 16 696
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 0 2 2 615
Trend, Seasonality and Seasonal Adjustment 0 0 4 86 1 2 10 83
Trends and cycles in economic time series: A Bayesian approach 0 3 7 209 1 4 10 391
Trends, Cycles and Convergence 0 0 0 429 0 1 3 734
Two EGARCH models and one fat tail 0 1 4 30 3 6 13 66
Two EGARCH models and one fat tail 0 1 2 78 0 3 6 110
Volatility Modeling with a Generalized t-distribution 0 1 5 92 0 3 13 118
When is a copula constant? A test for changing relationships 0 0 2 247 1 2 9 557
Total Working Papers 37 102 345 13,820 136 378 1,162 40,590


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 2 118 0 0 5 231
A Note on Common Cycles, Common Trends, and Convergence 0 0 0 178 0 0 4 446
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 1 5 195
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 0 0 0 47
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 0 0 0 12 1 2 4 48
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 5 149 1 5 18 345
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 0 117 0 1 3 431
Continuous time autoregressive models with common stochastic trends 0 0 0 71 0 0 0 145
Convergence in the trends and cycles of Euro-zone income 1 2 4 284 1 4 11 718
Convergence of Prices and Rates of Inflation 0 0 1 106 0 1 5 288
Detrending, Stylized Facts and the Business Cycle 0 5 30 1,155 9 21 64 3,311
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 1 2 4 724
EGARCH models with fat tails, skewness and leverage 1 4 9 29 2 7 19 101
Estimating Regression Models with Multiplicative Heteroscedasticity 2 13 39 705 5 28 83 1,594
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 0 0 1 62
Estimating the underlying change in unemployment in the UK 0 0 3 97 0 0 9 208
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 0 0 6 865
Estimation of simultaneous equation models with stochastic trend components 0 0 0 32 0 0 0 109
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 66 0 0 2 159
Filtering With Heavy Tails 1 5 9 35 1 9 18 74
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 1 3 17 858
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 1 1 1 361
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 1 1 1 3 1 1 1 10
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 1 6 22 328 2 9 34 768
Growth, cycles and convergence in US regional time series 0 0 1 70 0 0 2 212
Inflation Convergence and Divergence within the European Monetary Union 2 7 16 205 5 14 44 518
Kernel density estimation for time series data 1 1 10 26 4 9 29 96
Linear Regression in the Frequency Domain 0 0 7 231 5 8 26 593
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 65 0 0 4 331
Modelling the Phillips curve with unobserved components 1 1 2 147 1 2 9 293
Multivariate Stochastic Variance Models 1 5 12 1,398 4 17 45 3,310
On Comparing Regression Models in Levels and First Differences 1 5 13 1,052 3 7 25 2,458
Quantiles, expectiles and splines 0 0 7 111 0 2 19 268
Review of '4thought' 0 0 0 30 0 0 0 97
Robust time series models with trend and seasonal components 0 0 0 7 0 0 4 32
Seasonality Tests 0 0 0 5 0 0 1 1,436
Seasonality in Dynamic Regression Models 0 0 2 350 0 2 9 1,163
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 0 0 4 407
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 1 1,448
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 1 5 102 3 7 18 264
Structural time series models in inventory control 0 0 0 127 0 0 0 395
TESTING FOR TREND 0 0 1 97 0 1 3 228
TESTS OF COMMON STOCHASTIC TRENDS 0 2 4 146 0 4 12 250
Testing against changing correlation 0 0 0 6 1 4 12 40
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 1 2 52 0 1 3 184
Testing for a slowly changing level with special reference to stochastic volatility 0 0 1 37 0 1 3 111
Testing for functional misspecification in regression analysis 0 1 6 179 0 3 15 539
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 in Unobserved Components Models 0 0 0 1 0 1 3 448
Tests of strict stationarity based on quantile indicators 0 1 3 22 0 2 6 74
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 0 0 11 0 0 0 39
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 4 30 839
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 0 0 2 281
The estimation of dynamic models with missing observations 0 0 0 0 0 0 1 2
The local quadratic trend model 0 0 3 106 2 3 11 385
Time Series Models for Count or Qualitative Observations 0 0 0 0 0 1 5 469
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 1 2 10 280
Time-series models with an EGB2 conditional distribution 0 0 1 9 0 0 4 37
Tracking a changing copula 0 0 4 116 0 0 7 229
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 1 11 54 1,192
Trends and cycles in economic time series: A Bayesian approach 0 2 7 244 0 6 27 498
Trends, Cycles and Autoregressions 0 0 1 286 0 2 5 507
Unobserved component time series models with Arch disturbances 0 4 9 614 1 8 23 1,041
When is a Copula Constant? A Test for Changing Relationships 0 0 2 76 0 0 6 200
Total Journal Articles 13 68 246 10,023 57 217 798 35,033


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 1 4 14 46
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 2 10 19 77
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 9 29 76 831
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 36 116 242 1,217
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 12 28 87 665
Total Books 0 0 0 0 60 187 438 2,836


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 2 3 10 126 11 23 77 641
Forecasting with Unobserved Components Time Series Models 2 6 17 740 9 27 94 2,502
Trends, Cycles, and Convergence 0 1 1 64 2 7 20 180
Total Chapters 4 10 28 930 22 57 191 3,323


Statistics updated 2019-07-03