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 1 2 3 107
Beta-t-(E)GARCH 6 11 26 1,252 16 42 76 2,684
Co-integration and control: assessing the impact of events using time series data 0 0 2 80 2 3 7 82
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 5 9 12 634
Convergence and Cycles in the Euro Zone 0 0 0 163 2 3 13 377
Convergences of prices and rates of inflation 0 0 0 211 5 7 9 577
Cyclical Components in Economic Time Series: a Bayesian Approach 0 0 0 374 6 8 10 1,237
Cyclical components in economic time series 0 0 0 98 2 2 5 204
Cyclical components in economic time series: A Bayesian approach 0 0 0 160 9 9 9 579
Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) 0 0 0 0 2 4 6 53
Dynamic Tobit models 0 0 1 162 3 9 16 288
Dynamic distributions and changing copulas 0 0 0 297 3 8 9 553
EGARCH models with fat tails, skewness and leverage 0 0 2 255 2 4 12 535
Estimation and Testing of Stochastic Variance Models 0 0 0 0 9 11 17 226
Exponential Conditional Volatility Models 0 3 4 429 5 10 14 777
Exponential conditional volatility models 2 2 3 92 10 11 17 214
Filtering with heavy tails 0 0 1 155 2 5 12 275
Forecasting epidemic trajectories: Time Series Growth Curves package tsgc 0 0 0 12 2 3 6 14
General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 1 2 5 1,207 10 14 20 2,398
Growth, Cycles and Convergence in US Regional Time Series 0 0 1 344 2 5 7 1,007
Hidden Threshold Models with applications to asymmetric cycles 0 1 1 29 1 5 8 33
Inflation convergence and divergence within the European Monetary Union 0 0 0 350 8 13 16 1,104
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 60 2 7 9 213
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 2 3 6 118
Modeling directional (circular) time series 0 0 0 95 2 5 6 142
Modeling the Interactions between Volatility and Returns 0 0 0 174 1 4 6 318
Modeling the Phillips curve with unobserved components 0 0 0 695 1 6 10 1,319
Modeling time series with zero observations 0 0 0 131 5 14 16 246
Models for Converging Economies 0 0 0 381 6 14 24 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 4 6 11 133
Multivariate Unit Root Tests and Testing for Convergence 0 0 2 803 3 6 22 1,879
Quantiles, Expectiles and Splines 0 0 0 122 16 23 25 306
Quantiles, Expectiles and Splines 0 0 0 414 4 7 8 1,193
Regime switching models for directional and linear observations 0 0 1 52 3 3 7 69
Score-Driven Models for Realized Volatility 0 0 2 159 4 9 21 304
Score-driven time series models 0 0 1 89 6 12 20 98
Seasonality in Dynamic Regression Models 0 0 0 0 5 9 12 336
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) 0 0 0 0 3 3 4 34
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 3 3 4 13
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 5 7 9 75
Stochastic Volatility 0 1 6 478 13 20 29 1,660
Stochastic Volatility 0 0 0 8 6 19 37 3,547
Stochastic Volatility 0 0 0 37 4 13 18 259
Stochastic Volatility 0 0 0 3 7 14 21 1,662
Stochastic Volatility 0 2 9 2,092 4 19 37 4,830
Testing against Changing Correlation 0 0 0 92 4 7 13 160
Testing for Drift in a Time Series 0 0 3 986 9 17 32 3,663
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 1 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 2 4 6 29
Testing for the presence of a random walk in series with structural breaks 0 0 0 7 4 4 4 40
Testing for trend 0 0 0 492 5 9 13 1,493
Tests of Common Stochastic Trends 0 0 0 0 2 4 5 1,713
Tests of time-invariance 0 0 0 246 4 5 7 1,272
Tests of time-invariance 0 0 0 102 4 6 7 330
The Dyanamic Location/Scale Model: with applications to intra-day financial data 0 1 5 351 2 5 18 626
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 5 7 16 51
Time series modeling of epidemics: leading indicators, control groups and policy assessment 0 0 0 9 1 6 10 33
Time series models for epidemics: leading indicators, control groups and policy assessment 0 0 0 65 4 11 15 66
Time series models with an EGB2 conditional distribution 0 0 1 41 4 6 14 143
Time series models with an EGB2 conditional distribution 0 0 0 70 6 10 17 205
Time-Varying Quantiles 0 0 0 377 6 8 9 756
Trend estimation, signal-noise ratios and the frequency of observations 0 0 0 4 2 7 16 658
Trend, Seasonality and Seasonal Adjustment 0 1 2 98 1 2 6 110
Trends and cycles in economic time series: A Bayesian approach 0 1 2 226 0 5 7 434
Trends, Cycles and Convergence 0 0 0 437 1 5 8 767
Two EGARCH models and one fat tail 0 0 0 35 3 5 10 97
Two EGARCH models and one fat tail 0 0 0 79 4 7 8 132
Volatility Modeling with a Generalized t-distribution 0 0 1 113 0 1 6 185
When is a copula constant? A test for changing relationships 0 0 0 253 2 4 7 598
Total Working Papers 9 25 81 15,875 292 559 921 47,388

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 3 6 7 249
A Note on Common Cycles, Common Trends, and Convergence 0 0 1 184 2 5 9 480
A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors 0 0 0 20 1 2 2 131
A comparison of the power of some tests for heteroskedasticity in the general linear model 0 0 1 118 0 2 3 231
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models 0 0 0 14 4 7 11 62
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering 0 0 2 25 5 6 13 60
Analysis and Generalisation of a Multivariate Exponential Smoothing Model 0 0 4 21 0 1 8 69
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 2 3 7 127
Cointegration and control: Assessing the impact of events using time series data 0 1 6 35 0 5 21 123
Computing observation weights for signal extraction and filtering 1 2 8 199 9 12 39 496
Computing the mean square error of unobserved components extracted by misspecified time series models 0 0 1 121 3 4 9 448
Continuous time autoregressive models with common stochastic trends 0 0 1 74 5 7 9 163
Convergence in the trends and cycles of Euro-zone income 0 0 0 294 3 5 9 764
Convergence in the trends and cycles of Euro‐zone income 0 0 1 1 8 12 14 18
Convergence of Prices and Rates of Inflation* 0 0 0 114 3 16 17 329
Detrending, Stylized Facts and the Business Cycle 1 1 10 1,263 5 9 33 3,629
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 7 10 14 791
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION 0 0 0 4 2 4 4 12
EGARCH models with fat tails, skewness and leverage 0 1 2 50 3 9 12 177
Estimating Regression Models with Multiplicative Heteroscedasticity 0 1 5 806 3 5 13 1,841
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality 0 0 0 22 2 4 8 73
Estimating the underlying change in unemployment in the UK 0 0 0 105 5 7 9 243
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 1 7 19 930
Estimation of simultaneous equation models with stochastic trend components 0 0 0 34 2 4 7 125
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING 0 0 1 7 3 3 8 32
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS 0 0 0 69 3 4 4 173
Filtering With Heavy Tails 0 2 3 102 3 7 13 221
Finite Sample Prediction from Arima Processes 0 0 2 6 5 5 10 24
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study 0 0 0 0 4 10 15 970
Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response 0 0 0 0 2 7 10 408
Forecasting and Interpolation Using Vector Autoregressions with Common Trends 0 0 0 5 1 2 2 27
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series 1 2 5 414 10 17 27 981
Growth, cycles and convergence in US regional time series 0 0 0 74 1 4 7 247
Inflation Convergence and Divergence within the European Monetary Union 0 0 0 228 7 15 26 652
Kernel density estimation for time series data 0 0 8 128 4 14 43 448
Linear Regression in the Frequency Domain 0 0 1 258 2 3 6 658
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages 0 0 0 68 3 5 6 361
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 0 12 1 2 7 55
Modeling time series when some observations are zero 0 0 4 170 4 12 27 931
Modelling circular time series 0 1 2 10 6 10 18 41
Modelling the Phillips curve with unobserved components 0 0 1 160 3 4 8 335
Multivariate Stochastic Variance Models 0 0 1 1,458 1 10 24 3,525
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 0 0 11 5 6 9 37
On Comparing Regression Models in Levels and First Differences 0 0 0 1,128 2 7 8 2,623
Quantiles, expectiles and splines 0 0 0 124 3 4 6 336
Regime switching models for circular and linear time series 0 2 9 14 6 9 24 41
Review of '4thought' 0 0 0 30 1 3 4 103
Robust time series models with trend and seasonal components 0 0 0 12 5 6 7 65
Score-driven models for realized volatility 0 1 2 4 3 13 22 33
Seasonality Tests 0 0 0 5 4 10 15 1,501
Seasonality in Dynamic Regression Models 0 0 0 354 3 7 7 1,192
Seemingly Unrelated Time Series Equations and a Test for Homogeneity 0 0 0 0 1 2 3 426
Signal extraction and the formulation of unobserved components models 0 0 0 4 2 7 8 1,469
Some Comments on Multicollinearity in Regression 0 0 0 4 1 1 3 13
Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations 0 0 0 111 0 2 5 300
Structural time series models in inventory control 0 0 0 134 2 6 9 424
TESTING FOR TREND 0 0 0 99 5 7 14 259
TESTS OF COMMON STOCHASTIC TRENDS 0 0 0 175 13 35 35 359
TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT 0 0 1 4 0 2 3 14
TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021 0 0 1 4 1 3 6 15
Testing against changing correlation 0 0 0 11 1 2 4 64
Testing against smooth stochastic trends 0 0 0 269 3 4 6 1,118
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations 0 0 0 0 1 3 4 220
Testing for Serial Correlation in Simultaneous Equation Models 0 0 0 56 0 5 6 204
Testing for a slowly changing level with special reference to stochastic volatility 0 0 0 39 3 3 7 135
Testing for functional misspecification in regression analysis 0 0 13 272 2 6 24 708
Testing for heteroscedasticity in simultaneous equation models 0 0 0 66 1 3 8 162
Testing for serial correlation in simultaneous equation models: Some further results 0 0 0 23 3 4 5 69
Testing for the Presence of a Random Walk in Series with Structural Breaks 0 0 0 3 1 2 3 12
Testing in Unobserved Components Models 0 0 0 1 3 7 11 488
Tests for Deterministic Versus Indeterministic Cycles 0 0 0 3 2 2 2 7
Tests of strict stationarity based on quantile indicators 0 0 0 25 3 7 9 95
The Estimation of Higher-Order Continuous Time Autoregressive Models 0 1 1 17 2 4 5 62
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 4 7 9 917
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 3 5 7 322
The estimation of dynamic models with missing observations 0 0 0 0 0 2 3 16
The local quadratic trend model 0 2 4 118 2 7 9 494
Time Series Models for Count or Qualitative Observations 0 0 0 0 3 5 8 505
Time Series Models for Count or Qualitative Observations: Reply 0 0 0 0 3 3 5 314
Time-Varying Parameters in Econometrics: The editor’s foreword 1 3 3 5 6 11 15 22
Time-series models with an EGB2 conditional distribution 0 0 0 12 0 2 6 70
Tracking a changing copula 0 0 0 121 0 3 5 250
Trends and Cycles in Macroeconomic Time Series 0 0 0 0 7 17 35 1,384
Trends and cycles in economic time series: A Bayesian approach 1 1 3 280 10 12 22 631
Trends, Cycles and Autoregressions 0 0 1 296 1 1 4 537
Unobserved component time series models with Arch disturbances 0 0 1 649 5 8 14 1,157
Volatility Modeling with a Generalized t Distribution 0 0 0 11 3 8 10 51
When is a Copula Constant? A Test for Changing Relationships 0 0 1 81 4 7 8 229
Total Journal Articles 5 21 110 11,473 274 566 1,000 41,113

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 13 23 154
Dynamic Models for Volatility and Heavy Tails 0 0 0 0 4 10 17 317
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 11 22 67 1,384
Forecasting, Structural Time Series Models and the Kalman Filter 0 0 0 0 16 38 81 2,305
The Econometric Analysis of Time Series, 2nd Edition 0 0 0 0 6 11 52 1,257
Total Books 0 0 0 0 40 94 240 5,417

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 3 3 8 793
Forecasting with Unobserved Components Time Series Models 0 2 9 873 2 9 28 2,891
James Durbin (1923–2012) 0 0 0 0 7 9 18 24
MESSY TIME SERIES 0 0 0 0 2 3 3 4
Trends, Cycles, and Convergence 0 0 0 76 2 3 4 274
Total Chapters 0 2 9 1,093 16 27 61 3,986

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Statistics updated 2026-02-12