| 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 |
2 |
4 |
30 |
1,240 |
2 |
10 |
57 |
2,639 |
| Co-integration and control: assessing the impact of events using time series data |
0 |
0 |
2 |
80 |
0 |
1 |
4 |
78 |
| Computing Observation Weights for Signal Extraction and Filtering |
0 |
0 |
0 |
260 |
0 |
1 |
2 |
624 |
| 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 |
2 |
568 |
| Cyclical Components in Economic Time Series: a Bayesian Approach |
0 |
0 |
0 |
374 |
0 |
0 |
3 |
1,229 |
| Cyclical components in economic time series |
0 |
0 |
0 |
98 |
0 |
1 |
4 |
202 |
| 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 |
0 |
2 |
49 |
| Dynamic Tobit models |
0 |
0 |
2 |
162 |
1 |
2 |
11 |
279 |
| Dynamic distributions and changing copulas |
0 |
0 |
0 |
297 |
0 |
1 |
3 |
545 |
| EGARCH models with fat tails, skewness and leverage |
0 |
0 |
2 |
255 |
0 |
0 |
2 |
525 |
| Estimation and Testing of Stochastic Variance Models |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
213 |
| Exponential Conditional Volatility Models |
0 |
0 |
5 |
426 |
0 |
1 |
8 |
767 |
| Exponential conditional volatility models |
0 |
0 |
1 |
90 |
0 |
1 |
2 |
199 |
| Filtering with heavy tails |
1 |
1 |
2 |
155 |
1 |
1 |
3 |
265 |
| Forecasting epidemic trajectories: Time Series Growth Curves package tsgc |
0 |
0 |
0 |
12 |
0 |
1 |
1 |
9 |
| General Model-based Filters for Extracting Cycles and Trends in Economic Time Series |
0 |
0 |
5 |
1,205 |
0 |
1 |
11 |
2,383 |
| Growth, Cycles and Convergence in US Regional Time Series |
0 |
0 |
2 |
344 |
0 |
0 |
2 |
1,001 |
| Hidden Threshold Models with applications to asymmetric cycles |
0 |
0 |
12 |
28 |
0 |
0 |
12 |
28 |
| Inflation convergence and divergence within the European Monetary Union |
0 |
0 |
0 |
350 |
1 |
2 |
4 |
1,091 |
| Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages |
0 |
0 |
0 |
60 |
0 |
1 |
1 |
205 |
| Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
114 |
| Modeling directional (circular) time series |
0 |
0 |
3 |
95 |
0 |
0 |
4 |
136 |
| Modeling the Interactions between Volatility and Returns |
0 |
0 |
1 |
174 |
0 |
1 |
3 |
314 |
| Modeling the Phillips curve with unobserved components |
0 |
0 |
0 |
695 |
0 |
0 |
6 |
1,311 |
| Modeling time series with zero observations |
0 |
0 |
1 |
131 |
0 |
1 |
2 |
231 |
| Models for Converging Economies |
0 |
0 |
0 |
381 |
1 |
2 |
6 |
1,069 |
| 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 |
1 |
8 |
127 |
| Multivariate Unit Root Tests and Testing for Convergence |
0 |
0 |
5 |
802 |
0 |
10 |
26 |
1,872 |
| Quantiles, Expectiles and Splines |
0 |
0 |
0 |
414 |
0 |
0 |
1 |
1,186 |
| Quantiles, Expectiles and Splines |
0 |
0 |
0 |
122 |
0 |
1 |
2 |
282 |
| Regime switching models for directional and linear observations |
0 |
1 |
1 |
52 |
1 |
2 |
5 |
66 |
| Score-Driven Models for Realized Volatility |
0 |
1 |
3 |
159 |
0 |
2 |
7 |
288 |
| Score-driven time series models |
0 |
0 |
1 |
88 |
1 |
2 |
5 |
81 |
| Seasonality in Dynamic Regression Models |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
326 |
| 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 |
2 |
4 |
244 |
| Stochastic Volatility |
0 |
0 |
0 |
8 |
0 |
2 |
23 |
3,524 |
| Stochastic Volatility |
0 |
1 |
6 |
476 |
1 |
2 |
12 |
1,639 |
| Stochastic Volatility |
0 |
2 |
8 |
2,089 |
0 |
4 |
18 |
4,807 |
| Stochastic Volatility |
0 |
0 |
0 |
3 |
0 |
1 |
7 |
1,643 |
| Testing against Changing Correlation |
0 |
0 |
0 |
92 |
0 |
1 |
5 |
151 |
| Testing for Drift in a Time Series |
0 |
1 |
3 |
986 |
0 |
8 |
19 |
3,646 |
| 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 |
0 |
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 |
6 |
1,483 |
| Tests of Common Stochastic Trends |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1,709 |
| Tests of time-invariance |
0 |
0 |
1 |
246 |
0 |
1 |
4 |
1,267 |
| Tests of time-invariance |
0 |
0 |
0 |
102 |
0 |
0 |
1 |
323 |
| The Dyanamic Location/Scale Model: with applications to intra-day financial data |
0 |
3 |
8 |
350 |
0 |
6 |
18 |
620 |
| 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 |
1 |
8 |
43 |
| Time series modeling of epidemics: leading indicators, control groups and policy assessment |
0 |
0 |
0 |
9 |
0 |
0 |
3 |
26 |
| Time series models for epidemics: leading indicators, control groups and policy assessment |
0 |
0 |
0 |
65 |
0 |
2 |
3 |
54 |
| Time series models with an EGB2 conditional distribution |
0 |
0 |
0 |
70 |
0 |
0 |
0 |
188 |
| Time series models with an EGB2 conditional distribution |
0 |
0 |
1 |
41 |
0 |
1 |
6 |
134 |
| 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 |
0 |
6 |
648 |
| Trend, Seasonality and Seasonal Adjustment |
0 |
0 |
1 |
97 |
1 |
1 |
3 |
107 |
| 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 |
5 |
762 |
| Two EGARCH models and one fat tail |
0 |
0 |
0 |
35 |
0 |
0 |
1 |
88 |
| Two EGARCH models and one fat tail |
0 |
0 |
1 |
79 |
0 |
0 |
1 |
124 |
| Volatility Modeling with a Generalized t-distribution |
0 |
0 |
2 |
113 |
0 |
0 |
5 |
183 |
| When is a copula constant? A test for changing relationships |
0 |
0 |
0 |
253 |
0 |
0 |
1 |
592 |
| Total Working Papers |
3 |
14 |
113 |
15,845 |
12 |
83 |
408 |
46,725 |
| 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 |
1 |
1 |
243 |
| A Note on Common Cycles, Common Trends, and Convergence |
0 |
0 |
1 |
184 |
0 |
0 |
3 |
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 |
0 |
1 |
118 |
0 |
0 |
1 |
229 |
| A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models |
0 |
0 |
0 |
14 |
0 |
2 |
3 |
54 |
| An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering |
0 |
0 |
4 |
25 |
0 |
0 |
8 |
51 |
| Analysis and Generalisation of a Multivariate Exponential Smoothing Model |
0 |
0 |
4 |
21 |
0 |
1 |
7 |
68 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
122 |
| Cointegration and control: Assessing the impact of events using time series data |
0 |
1 |
7 |
34 |
3 |
4 |
22 |
117 |
| Computing observation weights for signal extraction and filtering |
0 |
2 |
10 |
197 |
0 |
6 |
30 |
479 |
| Computing the mean square error of unobserved components extracted by misspecified time series models |
1 |
1 |
1 |
121 |
1 |
4 |
4 |
443 |
| Continuous time autoregressive models with common stochastic trends |
0 |
1 |
1 |
74 |
0 |
2 |
2 |
156 |
| Convergence in the trends and cycles of Euro-zone income |
0 |
0 |
1 |
294 |
0 |
1 |
5 |
758 |
| 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 |
0 |
0 |
3 |
313 |
| Detrending, Stylized Facts and the Business Cycle |
1 |
2 |
11 |
1,261 |
1 |
4 |
28 |
3,618 |
| Diagnostic Checking of Unobserved-Components Time Series Models |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
781 |
| EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
8 |
| EGARCH models with fat tails, skewness and leverage |
0 |
0 |
4 |
49 |
1 |
1 |
6 |
167 |
| Estimating Regression Models with Multiplicative Heteroscedasticity |
0 |
0 |
4 |
805 |
0 |
0 |
11 |
1,834 |
| Estimating integrated higher-order continuous time autoregressions with an application to money-income causality |
0 |
0 |
0 |
22 |
1 |
2 |
4 |
68 |
| Estimating the underlying change in unemployment in the UK |
0 |
0 |
0 |
105 |
0 |
1 |
3 |
236 |
| Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns |
0 |
0 |
0 |
0 |
0 |
2 |
11 |
921 |
| Estimation of simultaneous equation models with stochastic trend components |
0 |
0 |
0 |
34 |
0 |
1 |
3 |
120 |
| FINITE SAMPLE PREDICTION AND OVERDIFFERENCING |
0 |
1 |
1 |
7 |
0 |
2 |
5 |
26 |
| 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 |
2 |
100 |
0 |
1 |
8 |
212 |
| Finite Sample Prediction from Arima Processes |
0 |
1 |
3 |
6 |
0 |
1 |
5 |
17 |
| Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
957 |
| Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
401 |
| 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 |
1 |
11 |
411 |
0 |
1 |
24 |
959 |
| 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 |
0 |
228 |
2 |
9 |
12 |
636 |
| Kernel density estimation for time series data |
0 |
3 |
11 |
126 |
1 |
9 |
35 |
429 |
| Linear Regression in the Frequency Domain |
1 |
1 |
1 |
258 |
1 |
1 |
2 |
654 |
| Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages |
0 |
0 |
0 |
68 |
1 |
1 |
3 |
356 |
| Modeling the Interactions between Volatility and Returns using EGARCH‐M |
0 |
0 |
0 |
12 |
0 |
3 |
5 |
52 |
| Modeling time series when some observations are zero |
0 |
0 |
6 |
169 |
1 |
3 |
28 |
917 |
| Modelling circular time series |
0 |
0 |
3 |
9 |
0 |
1 |
13 |
29 |
| Modelling the Phillips curve with unobserved components |
0 |
0 |
2 |
160 |
0 |
0 |
4 |
329 |
| Multivariate Stochastic Variance Models |
0 |
0 |
4 |
1,457 |
0 |
6 |
14 |
3,510 |
| ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL |
0 |
0 |
0 |
11 |
0 |
2 |
5 |
31 |
| On Comparing Regression Models in Levels and First Differences |
0 |
0 |
0 |
1,128 |
0 |
1 |
1 |
2,616 |
| Quantiles, expectiles and splines |
0 |
0 |
0 |
124 |
0 |
1 |
2 |
332 |
| Regime switching models for circular and linear time series |
0 |
3 |
6 |
10 |
2 |
5 |
16 |
28 |
| Review of '4thought' |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
100 |
| Robust time series models with trend and seasonal components |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
59 |
| Score-driven models for realized volatility |
0 |
0 |
2 |
3 |
1 |
2 |
10 |
15 |
| Seasonality Tests |
0 |
0 |
0 |
5 |
0 |
0 |
8 |
1,490 |
| Seasonality in Dynamic Regression Models |
0 |
0 |
0 |
354 |
0 |
0 |
2 |
1,185 |
| Seemingly Unrelated Time Series Equations and a Test for Homogeneity |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
424 |
| 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 |
1 |
1 |
11 |
| Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations |
0 |
0 |
0 |
111 |
0 |
1 |
3 |
298 |
| Structural time series models in inventory control |
0 |
0 |
0 |
134 |
0 |
3 |
6 |
418 |
| TESTING FOR TREND |
0 |
0 |
0 |
99 |
0 |
3 |
4 |
249 |
| TESTS OF COMMON STOCHASTIC TRENDS |
0 |
0 |
0 |
175 |
0 |
0 |
0 |
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 |
0 |
0 |
1 |
4 |
0 |
0 |
3 |
11 |
| Testing against changing correlation |
0 |
0 |
1 |
11 |
0 |
2 |
3 |
62 |
| Testing against smooth stochastic trends |
0 |
0 |
0 |
269 |
2 |
2 |
2 |
1,114 |
| 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 |
3 |
4 |
131 |
| Testing for functional misspecification in regression analysis |
1 |
7 |
15 |
272 |
1 |
9 |
23 |
702 |
| Testing for heteroscedasticity in simultaneous equation models |
0 |
0 |
0 |
66 |
0 |
1 |
4 |
158 |
| 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 |
1 |
1 |
10 |
| Testing in Unobserved Components Models |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
481 |
| 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 |
0 |
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 |
0 |
103 |
1 |
1 |
4 |
317 |
| The estimation of dynamic models with missing observations |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
| The local quadratic trend model |
0 |
1 |
2 |
116 |
0 |
1 |
3 |
487 |
| Time Series Models for Count or Qualitative Observations |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
499 |
| 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 |
11 |
| Time-series models with an EGB2 conditional distribution |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
65 |
| Tracking a changing copula |
0 |
0 |
0 |
121 |
1 |
1 |
1 |
246 |
| Trends and Cycles in Macroeconomic Time Series |
0 |
0 |
0 |
0 |
0 |
4 |
23 |
1,365 |
| Trends and cycles in economic time series: A Bayesian approach |
0 |
1 |
2 |
279 |
1 |
5 |
14 |
618 |
| Trends, Cycles and Autoregressions |
0 |
1 |
1 |
296 |
0 |
1 |
3 |
536 |
| Unobserved component time series models with Arch disturbances |
0 |
1 |
1 |
649 |
0 |
2 |
4 |
1,146 |
| Volatility Modeling with a Generalized t Distribution |
0 |
0 |
1 |
11 |
0 |
0 |
4 |
42 |
| When is a Copula Constant? A Test for Changing Relationships |
0 |
0 |
1 |
81 |
0 |
0 |
2 |
222 |
| Total Journal Articles |
4 |
28 |
131 |
11,443 |
24 |
131 |
526 |
40,450 |
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