Details about Andrew C. Harvey

Homepage:	http://www.econ.cam.ac.uk/faculty/harvey/
Workplace:	Faculty of Economics, University of Cambridge, (more information at EDIRC)

Access statistics for papers by Andrew C. Harvey.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pha279

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Working Papers

2008

1. Beta-t-(E)GARCH
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
2. Dynamic distributions and changing copulas
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
3. Modeling the Phillips curve with unobserved components
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
4. When is a copula constant? A test for changing relationships
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2007

5. Quantiles, Expectiles and Splines
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations
   See also Journal Article in Journal of Econometrics (2009)
6. Testing for trend
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department View citations
   See also Journal Article in Econometric Theory (2008)
7. Tests of time-invariance
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations

2006

8. Convergences of prices and rates of inflation
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department View citations
   See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)
9. Inflation convergence and divergence within the European Monetary Union
   Working Paper Series, European Central Bank View citations
   See also Journal Article in International Journal of Central Banking (2007)
10. Time-Varying Quantiles
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations

2005

11. Trends and cycles in economic time series: A Bayesian approach
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    See also Journal Article in Journal of Econometrics (2007)

2004

12. Bayes estimates of the cyclical component in twentieth centruy US gross domestic product
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
13. Convergence and Cycles in the Euro Zone
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
14. Cyclical components in economic time series: A Bayesian approach
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations
15. Trend estimation, signal-noise ratios and the frequency of observations
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations

2003

16. Multivariate Unit Root Tests and Testing for Convergence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations

2002

17. Cyclical components in economic time series
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2002)
18. Growth, Cycles and Convergence in US Regional Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article in International Journal of Forecasting (2005)
19. Models for Converging Economies
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
20. Testing for Drift in a Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
21. Trends, Cycles and Convergence
    Working Papers Central Bank of Chile, Central Bank of Chile View citations

2001

22. General Model-based Filters for Extracting Cycles and Trends in Economic Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
    See also Journal Article in The Review of Economics and Statistics (2003)
23. Statistics on Working Time Arrangements Based on Time-Use Survey Data
    ISER working papers, Institute for Social and Economic Research View citations

2000

24. Computing Observation Weights for Signal Extraction and Filtering
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
25. Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    See also Journal Article in The Review of Economics and Statistics (2003)

1999

26. Signal extraction and the formulation of unobserved components models
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Econometrics Journal (2000)
27. Tests of Common Stochastic Trends
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
    See also Journal Article in Econometric Theory (2000)

1998

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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations

1997

29. Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1996

30. Stochastic Volatility
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations
    CIRANO Working Papers, CIRANO (1995) View citations
    Working Papers, Toulouse - GREMAQ (1995) View citations

1994

31. Seasonality in Dynamic Regression Models
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations
    See also Journal Article in Economic Journal (1994)

Journal Articles

2009

1. Computing the mean square error of unobserved components extracted by misspecified time series models
   Journal of Economic Dynamics and Control, 2009, 33, (2), 283-295
2. Quantiles, expectiles and splines
   Journal of Econometrics, 2009, 152, (2), 179-185 View citations
   See also Working Paper (2007)

2008

3. TESTING FOR TREND
   Econometric Theory, 2008, 24, (01), 72-87
   See also Working Paper (2007)

2007

4. A Note on Common Cycles, Common Trends, and Convergence
   Journal of Business & Economic Statistics, 2007, 25, 12-20 View citations
5. Inflation Convergence and Divergence within the European Monetary Union
   International Journal of Central Banking, 2007, 3, (2), 95-121 View citations
   See also Working Paper (2006)
6. Trends and cycles in economic time series: A Bayesian approach
   Journal of Econometrics, 2007, 140, (2), 618-649 View citations
   See also Working Paper (2005)

2006

7. Convergence of Prices and Rates of Inflation
   Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 863-877 View citations
   See also Working Paper (2006)

2005

8. Convergence in the trends and cycles of Euro-zone income
   Journal of Applied Econometrics, 2005, 20, (2), 275-289 View citations
9. Growth, cycles and convergence in US regional time series
   International Journal of Forecasting, 2005, 21, (4), 667-686 View citations
   See also Working Paper (2002)

2003

10. Computing observation weights for signal extraction and filtering
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1317-1333 View citations
    See also Working Paper (2000)
11. FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
    Journal of Time Series Analysis, 2003, 24, (2), 137-140 View citations
12. General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series
    The Review of Economics and Statistics, 2003, 85, (2), 244-255 View citations
    See also Working Paper (2001)
13. Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages
    The Review of Economics and Statistics, 2003, 85, (1), 141-152 View citations
    See also Working Paper (2000)
14. Seasonality Tests
    Journal of Business & Economic Statistics, 2003, 21, (3), 420-36 View citations

2001

15. Testing against smooth stochastic trends
    Journal of Applied Econometrics, 2001, 16, (3), 415-429 View citations
16. Testing in Unobserved Components Models
    Journal of Forecasting, 2001, 20, (1), 1-19 View citations

2000

17. A Beveridge-Nelson smoother
    Economics Letters, 2000, 67, (2), 139-146 View citations
18. Estimating the underlying change in unemployment in the UK
    Journal Of The Royal Statistical Society Series A, 2000, 163, (3), 303-309 View citations
19. Signal extraction and the formulation of unobserved components models
    Econometrics Journal, 2000, 3, (1), 84-107 View citations
    See also Working Paper (1999)
20. TESTS OF COMMON STOCHASTIC TRENDS
    Econometric Theory, 2000, 16, (02), 176-199 View citations
    See also Working Paper (1999)

1998

21. Testing for a slowly changing level with special reference to stochastic volatility
    Journal of Econometrics, 1998, 87, (1), 167-189 View citations

1997

22. The Modeling and Seasonal Adjustment of Weekly Observations
    Journal of Business & Economic Statistics, 1997, 15, (3), 354-68 View citations
23. Trends, Cycles and Autoregressions
    Economic Journal, 1997, 107, (440), 192-201 View citations

1996

24. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
    Journal of Business & Economic Statistics, 1996, 14, (4), 429-34 View citations

1994

25. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 402-03
26. Multivariate Stochastic Variance Models
    Review of Economic Studies, 1994, 61, (2), 247-64 View citations
27. Review of '4thought'
    International Journal of Forecasting, 1994, 10, (1), 35-41
28. Seasonality in Dynamic Regression Models
    Economic Journal, 1994, 104, (427), 1324-45 View citations
    See also Working Paper (1994)

1993

29. Detrending, Stylized Facts and the Business Cycle
    Journal of Applied Econometrics, 1993, 8, (3), 231-47 View citations
30. Estimation of simultaneous equation models with stochastic trend components
    Journal of Economic Dynamics and Control, 1993, 17, (1-2), 263-287

1992

31. Diagnostic Checking of Unobserved-Components Time Series Models
    Journal of Business & Economic Statistics, 1992, 10, (4), 377-89 View citations
32. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations

1991

33. Inter-fuel Substitution, Technical Change and the Demand for Energy in the UK Economy
    Applied Economics, 1991, 23, (6), 1077-86 View citations

1990

34. Seemingly Unrelated Time Series Equations and a Test for Homogeneity
    Journal of Business & Economic Statistics, 1990, 8, (1), 71-81
35. Structural time series models in inventory control
    International Journal of Forecasting, 1990, 6, (2), 187-198 View citations

1989

36. Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
    Journal of Econometrics, 1989, 42, (3), 319-336
37. Time Series Models for Count or Qualitative Observations
    Journal of Business & Economic Statistics, 1989, 7, (4), 407-17 View citations
38. Time Series Models for Count or Qualitative Observations: Reply
    Journal of Business & Economic Statistics, 1989, 7, (4), 422 View citations

1988

39. Continuous time autoregressive models with common stochastic trends
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 365-384 View citations

1987

40. Forecasting and Interpolation Using Vector Autoregressions with Common Trends
    Annales d'Economie et de Statistique, 1987, (6-7), 12 View citations

1986

41. Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations
    Economic Journal, 1986, 96, (384), 975-85 View citations
42. 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)
    International Journal of Forecasting, 1986, 2, (4), 496-497 View citations

1985

43. Trends and Cycles in Macroeconomic Time Series
    Journal of Business & Economic Statistics, 1985, 3, (3), 216-27 View citations

1984

44. A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
    Economics Letters, 1984, 15, (3-4), 301-307

1983

45. Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study
    Journal of Business & Economic Statistics, 1983, 1, (4), 299-307 View citations
46. Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response
    Journal of Business & Economic Statistics, 1983, 1, (4), 313-15

1982

47. Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations
    Bulletin of Economic Research, 1982, 34, (2), 79-91 View citations

1981

48. Testing for heteroscedasticity in simultaneous equation models
    Journal of Econometrics, 1981, 15, (3), 311-340 View citations
49. Testing for serial correlation in simultaneous equation models: Some further results
    Journal of Econometrics, 1981, 17, (1), 99-105

1980

50. On Comparing Regression Models in Levels and First Differences
    International Economic Review, 1980, 21, (3), 707-20 View citations
51. Testing for Serial Correlation in Simultaneous Equation Models
    Econometrica, 1980, 48, (3), 747-59

1978

52. Linear Regression in the Frequency Domain
    International Economic Review, 1978, 19, (2), 507-12 View citations

1977

53. Testing for functional misspecification in regression analysis
    Journal of Econometrics, 1977, 6, (1), 103-119 View citations

1976

54. A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors
    International Economic Review, 1976, 17, (2), 506-09
55. Estimating Regression Models with Multiplicative Heteroscedasticity
    Econometrica, 1976, 44, (3), 461-65 View citations

1974

56. A comparison of the power of some tests for heteroskedasticity in the general linear model
    Journal of Econometrics, 1974, 2, (4), 307-316 View citations

Books

1990

1. The Econometric Analysis of Time Series, 2nd Edition, vol 1
   MIT Press Books, The MIT Press View citations

Chapters

2006

1. Forecasting with Unobserved Components Time Series Models
   Elsevier View citations

1977

2. DISCRIMINATIONS BETWEEN CES AND VES PRODUCTION FUNCTIONS
   A chapter in Annals of Economic and Social Measurement, Volume 6, number 4, 1977, pp 135-143