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 5 109
Beta-t-(E)GARCH 4 6 26 1,262 7 22 88 2,717
Co-integration and control: assessing the impact of events using time series data 0 0 0 80 1 2 8 85
Computing Observation Weights for Signal Extraction and Filtering 0 1 1 261 0 7 22 645
Convergence and Cycles in the Euro Zone 0 0 0 163 0 2 8 381
Convergences of prices and rates of inflation 0 0 0 211 1 4 13 581
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 0 374 0 2 14 1,243
Cyclical components in economic time series 0 0 0 98 0 1 4 205
Cyclical components in economic time series: A Bayesian approach 0 0 0 160 1 4 20 590
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 1 5 54
Dynamic Tobit models 0 0 0 162 0 2 14 291
Dynamic distributions and changing copulas 0 0 1 298 1 4 17 561
EGARCH models with fat tails, skewness and leverage 0 0 0 255 1 7 19 544
Estimation and Testing of Stochastic Variance Models 0 0 0 0 0 2 16 229
Exponential Conditional Volatility Models 1 1 4 430 1 2 17 783
Exponential conditional volatility models 0 0 2 92 1 2 19 217
Filtering with heavy tails 0 0 1 155 1 5 19 283
Forecasting epidemic trajectories: Time Series Growth Curves package tsgc 0 0 0 12 0 3 11 19
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 0 0 2 1,207 0 2 22 2,404
Growth, Cycles and Convergence in US Regional Time Series 0 0 0 344 0 5 12 1,013
Hidden Threshold Models with applications to asymmetric cycles 0 0 2 30 0 1 11 39
Inflation convergence and divergence within the European Monetary Union 0 1 2 352 0 1 19 1,108
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 60 0 2 12 216
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 2 8 122
Modeling directional (circular) time series 1 1 1 96 1 8 17 153
Modeling the Interactions between Volatility and Returns 1 1 1 175 1 2 8 321
Modeling the Phillips curve with unobserved components 0 0 0 695 0 2 11 1,322
Modeling time series with zero observations 0 0 0 131 2 5 21 251
Models for Converging Economies 0 0 0 381 0 4 24 1,091
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 0 2 10 136
Multivariate Unit Root Tests and Testing for Convergence 0 0 1 803 0 6 27 1,889
Quantiles, Expectiles and Splines 0 0 0 122 0 4 33 314
Quantiles, Expectiles and Splines 0 0 0 414 1 2 11 1,197
Regime switching models for directional and linear observations 0 0 1 52 1 3 9 73
Score-Driven Models for Realized Volatility 0 0 2 160 2 7 27 313
Score-driven time series models 0 1 2 90 0 6 26 105
Seasonality in Dynamic Regression Models 0 0 0 0 0 0 12 336
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 0 2 6 36
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 1 3 6 16
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 0 3 14 80
Stochastic Volatility 0 0 0 37 2 11 28 270
Stochastic Volatility 0 0 3 478 1 14 39 1,676
Stochastic Volatility 0 0 0 8 2 13 40 3,562
Stochastic Volatility 0 1 6 2,093 2 15 49 4,852
Stochastic Volatility 0 0 0 3 1 10 31 1,673
Testing against Changing Correlation 0 0 0 92 1 6 17 167
Testing for Drift in a Time Series 0 1 2 987 2 11 43 3,681
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 2 3 30
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 3 8 33
Testing for the presence of a random walk in series with structural breaks 0 0 0 7 0 1 5 41
Testing for trend 0 0 0 492 0 2 14 1,496
Tests of Common Stochastic Trends 0 0 0 0 1 3 9 1,717
Tests of time-invariance 0 0 0 246 0 3 10 1,276
Tests of time-invariance 0 0 0 102 0 5 13 336
The Dyanamic Location/Scale Model: with applications to intra-day financial data 0 0 4 351 0 1 15 629
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 12 54
Time series modeling of epidemics: leading indicators, control groups and policy assessment 0 0 0 9 0 2 10 36
Time series models for epidemics: leading indicators, control groups and policy assessment 0 0 0 65 1 1 16 68
Time series models with an EGB2 conditional distribution 0 0 0 70 0 3 21 209
Time series models with an EGB2 conditional distribution 0 0 0 41 0 4 16 149
Time-Varying Quantiles 0 0 0 377 0 5 16 764
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 0 4 16 664
Trend, Seasonality and Seasonal Adjustment 0 0 1 98 0 2 7 113
Trends and cycles in economic time series: A Bayesian approach 0 0 1 226 0 1 6 435
Trends, Cycles and Convergence 0 0 0 437 0 6 16 777
Two EGARCH models and one fat tail 0 0 0 35 0 2 11 99
Two EGARCH models and one fat tail 0 0 0 79 0 6 14 138
Volatility Modeling with a Generalized t-distribution 0 0 0 113 1 5 9 192
When is a copula constant? A test for changing relationships 0 0 0 253 0 4 13 605
Total Working Papers 7 14 66 15,897 38 293 1,172 47,814

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 2 10 252
A Note on Common Cycles, Common Trends, and Convergence 0 0 0 184 1 4 10 484
A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors 0 0 0 20 1 2 4 133
A comparison of the power of some tests for heteroskedasticity in the general linear model 0 0 0 118 0 4 8 237
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 0 1 11 63
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 0 0 0 25 0 1 16 67
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 0 0 0 21 0 1 3 70
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 6 127
Cointegration and control: Assessing the impact of events using time series data 0 0 2 35 2 3 16 129
Computing observation weights for signal extraction and filtering 0 1 7 202 0 9 37 510
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 1 121 0 1 11 450
Continuous time autoregressive models with common stochastic trends 0 0 1 74 0 3 13 167
Convergence in the trends and cycles of Euro-zone income 0 0 0 294 0 1 9 766
Convergence in the trends and cycles of Euro‐zone income 0 0 1 1 0 1 15 20
Convergence of Prices and Rates of Inflation* 0 0 0 114 0 3 21 334
Detrending, Stylized Facts and the Business Cycle 0 1 8 1,267 2 7 29 3,643
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 0 3 19 799
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 0 4 0 2 7 15
EGARCH models with fat tails, skewness and leverage 1 2 3 52 1 5 22 188
Estimating Regression Models with Multiplicative Heteroscedasticity 1 3 5 810 2 10 20 1,854
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 0 2 10 76
Estimating the underlying change in unemployment in the UK 0 0 0 105 0 0 11 246
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 1 3 20 939
Estimation of simultaneous equation models with stochastic trend components 0 0 0 34 0 3 10 129
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 1 7 0 4 13 37
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 69 0 3 7 176
Filtering With Heavy Tails 0 0 2 102 1 3 15 226
Finite Sample Prediction from Arima Processes 0 1 2 7 0 1 10 26
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 0 1 26 982
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 0 0 16 415
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 0 5 0 1 3 28
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 0 1 5 415 0 4 28 986
Growth, cycles and convergence in US regional time series 0 0 0 74 0 1 8 249
Inflation Convergence and Divergence within the European Monetary Union 0 0 0 228 0 6 33 660
Kernel density estimation for time series data 1 2 8 131 1 9 42 462
Linear Regression in the Frequency Domain 0 0 1 258 0 3 10 663
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 68 0 2 8 363
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 0 12 0 5 12 61
Modeling time series when some observations are zero 0 0 1 170 1 5 24 938
Modelling circular time series 0 1 4 13 3 7 27 55
Modelling the Phillips curve with unobserved components 0 0 0 160 0 3 11 340
Multivariate Stochastic Variance Models 0 1 3 1,460 1 7 32 3,536
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 1 3 14 0 1 15 44
On Comparing Regression Models in Levels and First Differences 0 1 1 1,129 0 2 11 2,626
Quantiles, expectiles and splines 0 0 0 124 0 7 13 344
Regime switching models for circular and linear time series 1 1 8 15 3 4 26 49
Review of '4thought' 0 0 0 30 0 9 13 113
Robust time series models with trend and seasonal components 0 0 0 12 7 11 18 77
Score-driven models for realized volatility 0 0 2 5 0 1 27 40
Seasonality Tests 0 0 0 5 3 6 21 1,511
Seasonality in Dynamic Regression Models 0 0 0 354 1 4 14 1,199
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 1 10 13 436
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 5 14 1,475
Some Comments on Multicollinearity in Regression 0 0 0 4 0 0 3 13
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 0 0 111 0 1 4 301
Structural time series models in inventory control 0 0 0 134 0 0 12 427
TESTING FOR TREND 0 0 0 99 0 1 16 262
TESTS OF COMMON STOCHASTIC TRENDS 0 0 0 175 1 5 43 367
TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT 0 0 0 4 0 4 7 19
TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 0 0 0 4 0 0 4 15
Testing against changing correlation 0 0 0 11 0 3 7 67
Testing against smooth stochastic trends 0 0 0 269 0 9 16 1,128
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations 0 0 0 0 0 2 6 222
Testing for Serial Correlation in Simultaneous Equation Models 0 0 0 56 0 2 8 207
Testing for a slowly changing level with special reference to stochastic volatility 0 0 0 39 0 4 12 140
Testing for functional misspecification in regression analysis 0 1 8 273 1 10 27 720
Testing for heteroscedasticity in simultaneous equation models 0 0 0 66 1 1 6 163
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 23 0 2 8 73
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 0 3 0 2 6 15
Testing in Unobserved Components Models 0 0 0 1 0 1 9 489
Tests for Deterministic Versus Indeterministic Cycles 0 0 0 3 0 0 3 8
Tests of strict stationarity based on quantile indicators 0 0 0 25 0 2 11 98
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 0 1 17 0 2 6 64
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 2 13 921
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 2 8 324
The estimation of dynamic models with missing observations 0 0 0 0 1 2 9 22
The local quadratic trend model 0 0 3 118 0 6 14 500
Time Series Models for Count or Qualitative Observations 0 0 0 0 0 1 9 507
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 2 3 7 317
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 3 5 0 4 19 29
Time-series models with an EGB2 conditional distribution 0 0 0 12 0 4 10 75
Tracking a changing copula 0 0 0 121 0 2 7 252
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 0 5 30 1,391
Trends and cycles in economic time series: A Bayesian approach 0 0 2 280 0 3 23 636
Trends, Cycles and Autoregressions 0 0 1 296 0 2 10 545
Unobserved component time series models with Arch disturbances 0 0 1 649 2 4 19 1,163
Volatility Modeling with a Generalized t Distribution 0 0 0 11 0 2 11 53
When is a Copula Constant? A Test for Changing Relationships 0 0 0 81 0 5 14 236
Total Journal Articles 4 17 88 11,503 40 294 1,265 41,584

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 3 12 30 332
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 1 3 29 160
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 8 27 83 1,424
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 15 51 133 2,373
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 2 10 57 1,286
Total Books 0 0 0 0 29 103 332 5,575

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 1 7 794
Forecasting with Unobserved Components Time Series Models 0 1 4 874 0 7 23 2,901
James Durbin (1923–2012) 0 0 0 0 0 3 21 29
MESSY TIME SERIES 0 0 1 1 0 0 4 5
Trends, Cycles, and Convergence 0 0 0 76 1 4 12 282
Total Chapters 0 1 5 1,095 1 15 67 4,011

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Statistics updated 2026-07-10