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 |
|
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