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Details about Andrew C. Harvey

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

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Last updated 2014-06-23. Update your information in the RePEc Author Service.

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Working Papers

2014

  1. Time series models with an EGB2 conditional distribution
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) Downloads
  2. Two EGARCH models and one fat tail
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) Downloads View citations (1)

2012

  1. EGARCH models with fat tails, skewness and leverage
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (8)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  2. Filtering with heavy tails
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
  3. The Dyanamic Location/Scale Model: with applications to intra-day financial data
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)

2010

  1. Exponential Conditional Volatility Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría (2010) Downloads View citations (1)

2008

  1. Beta-t-(E)GARCH
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  2. Dynamic distributions and changing copulas
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
  3. Modeling the Phillips curve with unobserved components
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (4)
    See also Journal Article in Applied Financial Economics (2011)
  4. When is a copula constant? A test for changing relationships
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (4)
    See also Journal Article in Journal of Financial Econometrics (2011)

2007

  1. Quantiles, Expectiles and Splines
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2009)
  2. Testing for trend
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (13)
    See also Journal Article in Econometric Theory (2008)
  3. Tests of time-invariance
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (5)

2006

  1. Convergences of prices and rates of inflation
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (8)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)
  2. Inflation convergence and divergence within the European Monetary Union
    Working Paper Series, European Central Bank Downloads View citations (39)
    See also Journal Article in International Journal of Central Banking (2007)
  3. Time-Varying Quantiles
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (10)

2005

  1. Trends and cycles in economic time series: A Bayesian approach
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2007)

2004

  1. Bayes estimates of the cyclical component in twentieth centruy US gross domestic product
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. Convergence and Cycles in the Euro Zone
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
  3. Cyclical components in economic time series: A Bayesian approach
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads View citations (2)
  4. Trend estimation, signal-noise ratios and the frequency of observations
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (4)

2003

  1. Multivariate Unit Root Tests and Testing for Convergence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (17)

2002

  1. Cyclical components in economic time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
  2. Growth, Cycles and Convergence in US Regional Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
    See also Journal Article in International Journal of Forecasting (2005)
  3. Models for Converging Economies
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (12)
  4. Testing for Drift in a Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
  5. Trends, Cycles and Convergence
    Working Papers Central Bank of Chile, Central Bank of Chile Downloads
    See also Chapter (2002)

2001

  1. General Model-based Filters for Extracting Cycles and Trends in Economic Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
    See also Journal Article in The Review of Economics and Statistics (2003)

2000

  1. Computing Observation Weights for Signal Extraction and Filtering
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  2. Examining working time arrangements using time use survey data
    ISER Working Paper Series, Institute for Social and Economic Research Downloads View citations (15)
  3. 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 Downloads View citations (1)
    See also Journal Article in The Review of Economics and Statistics (2003)

1999

  1. Signal Extraction and the Formulation of Unobserved Components Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (8)
    See also Journal Article in Econometrics Journal (2000)
  2. Tests of Common Stochastic Trends
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
    See also Journal Article in Econometric Theory (2000)

1998

  1. 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 Downloads View citations (11)
  2. Testing for the presence of a random walk in series with structural breaks
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads

1997

  1. 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 View citations (1)

1996

  1. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
  2. Stochastic Volatility
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (223)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (222)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads View citations (13)
    CIRANO Working Papers, CIRANO (1995) Downloads View citations (13)
    Working Papers, Toulouse - GREMAQ (1995) View citations (122)
  3. Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1995

  1. The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1994

  1. Seasonality in Dynamic Regression Models
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations (28)
    See also Journal Article in Economic Journal (1994)

1993

  1. Estimation and Testing of Stochastic Variance Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (13)
  2. Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1991

  1. Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)

Journal Articles

2014

  1. EGARCH models with fat tails, skewness and leverage
    Computational Statistics & Data Analysis, 2014, 76, (C), 320-338 Downloads
    See also Working Paper (2012)

2011

  1. Modelling the Phillips curve with unobserved components
    Applied Financial Economics, 2011, 21, (1-2), 7-17 Downloads View citations (6)
    See also Working Paper (2008)
  2. When is a Copula Constant? A Test for Changing Relationships
    Journal of Financial Econometrics, 2011, 9, (1), 106-131 Downloads View citations (6)
    See also Working Paper (2008)

2010

  1. Tests of strict stationarity based on quantile indicators
    Journal of Time Series Analysis, 2010, 31, (6), 435-450 Downloads View citations (1)
  2. The local quadratic trend model
    Journal of Forecasting, 2010, 29, (1-2), 94-108 Downloads
  3. Tracking a changing copula
    Journal of Empirical Finance, 2010, 17, (3), 485-500 Downloads View citations (1)

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 Downloads View citations (3)
  2. Quantiles, expectiles and splines
    Journal of Econometrics, 2009, 152, (2), 179-185 Downloads View citations (16)
    See also Working Paper (2007)

2008

  1. TESTING FOR TREND
    Econometric Theory, 2008, 24, (01), 72-87 Downloads View citations (5)
    See also Working Paper (2007)

2007

  1. A Note on Common Cycles, Common Trends, and Convergence
    Journal of Business & Economic Statistics, 2007, 25, 12-20 Downloads View citations (8)
  2. Inflation Convergence and Divergence within the European Monetary Union
    International Journal of Central Banking, 2007, 3, (2), 95-121 Downloads View citations (38)
    See also Working Paper (2006)
  3. Trends and cycles in economic time series: A Bayesian approach
    Journal of Econometrics, 2007, 140, (2), 618-649 Downloads View citations (28)
    See also Working Paper (2005)

2006

  1. Convergence of Prices and Rates of Inflation
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 863-877 Downloads View citations (19)
    See also Working Paper (2006)

2005

  1. Convergence in the trends and cycles of Euro-zone income
    Journal of Applied Econometrics, 2005, 20, (2), 275-289 Downloads View citations (7)
  2. Growth, cycles and convergence in US regional time series
    International Journal of Forecasting, 2005, 21, (4), 667-686 Downloads View citations (11)
    See also Working Paper (2002)

2003

  1. Computing observation weights for signal extraction and filtering
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1317-1333 Downloads View citations (24)
    See also Working Paper (2000)
  2. FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
    Journal of Time Series Analysis, 2003, 24, (2), 137-140 Downloads View citations (10)
  3. General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series
    The Review of Economics and Statistics, 2003, 85, (2), 244-255 Downloads View citations (60)
    See also Working Paper (2001)
  4. 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 Downloads View citations (5)
    See also Working Paper (2000)
  5. Seasonality Tests
    Journal of Business & Economic Statistics, 2003, 21, (3), 420-36 View citations (12)

2001

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

2000

  1. A Beveridge-Nelson smoother
    Economics Letters, 2000, 67, (2), 139-146 Downloads View citations (9)
  2. Estimating the underlying change in unemployment in the UK
    Journal of the Royal Statistical Society Series A, 2000, 163, (3), 303-309 Downloads View citations (32)
  3. Signal extraction and the formulation of unobserved components models
    Econometrics Journal, 2000, 3, (1), 84-107 View citations (43)
    See also Working Paper (1999)
  4. TESTS OF COMMON STOCHASTIC TRENDS
    Econometric Theory, 2000, 16, (02), 176-199 Downloads View citations (57)
    See also Working Paper (1999)

1998

  1. Testing for a slowly changing level with special reference to stochastic volatility
    Journal of Econometrics, 1998, 87, (1), 167-189 Downloads View citations (8)

1997

  1. The Modeling and Seasonal Adjustment of Weekly Observations
    Journal of Business & Economic Statistics, 1997, 15, (3), 354-68 View citations (16)
  2. Trends, Cycles and Autoregressions
    Economic Journal, 1997, 107, (440), 192-201 Downloads View citations (45)

1996

  1. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
    Journal of Business & Economic Statistics, 1996, 14, (4), 429-34 View citations (122)

1994

  1. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 402-03 View citations (1)
  2. Multivariate Stochastic Variance Models
    Review of Economic Studies, 1994, 61, (2), 247-64 Downloads View citations (337)
  3. Review of '4thought'
    International Journal of Forecasting, 1994, 10, (1), 35-41 Downloads
  4. Seasonality in Dynamic Regression Models
    Economic Journal, 1994, 104, (427), 1324-45 Downloads View citations (35)
    See also Working Paper (1994)

1993

  1. Detrending, Stylized Facts and the Business Cycle
    Journal of Applied Econometrics, 1993, 8, (3), 231-47 Downloads View citations (378)
  2. Estimation of simultaneous equation models with stochastic trend components
    Journal of Economic Dynamics and Control, 1993, 17, (1-2), 263-287 Downloads View citations (1)

1992

  1. Diagnostic Checking of Unobserved-Components Time Series Models
    Journal of Business & Economic Statistics, 1992, 10, (4), 377-89 View citations (54)
  2. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 Downloads View citations (118)

1990

  1. Seemingly Unrelated Time Series Equations and a Test for Homogeneity
    Journal of Business & Economic Statistics, 1990, 8, (1), 71-81 View citations (4)
  2. Structural time series models in inventory control
    International Journal of Forecasting, 1990, 6, (2), 187-198 Downloads View citations (19)

1989

  1. Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
    Journal of Econometrics, 1989, 42, (3), 319-336 Downloads View citations (2)
  2. Time Series Models for Count or Qualitative Observations
    Journal of Business & Economic Statistics, 1989, 7, (4), 407-17 View citations (24)
  3. Time Series Models for Count or Qualitative Observations: Reply
    Journal of Business & Economic Statistics, 1989, 7, (4), 422 View citations (22)

1988

  1. Continuous time autoregressive models with common stochastic trends
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 365-384 Downloads View citations (11)

1987

  1. Forecasting and Interpolation Using Vector Autoregressions with Common Trends
    Annales d'Economie et de Statistique, 1987, (6-7), 279-287 Downloads View citations (3)

1986

  1. Analysis and Generalisation of a Multivariate Exponential Smoothing Model
    Management Science, 1986, 32, (3), 374-380 Downloads View citations (9)
  2. Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations
    Economic Journal, 1986, 96, (384), 975-85 Downloads View citations (21)
  3. 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 Downloads View citations (9)

1985

  1. The Estimation of Higher-Order Continuous Time Autoregressive Models
    Econometric Theory, 1985, 1, (01), 97-117 Downloads View citations (11)
  2. Trends and Cycles in Macroeconomic Time Series
    Journal of Business & Economic Statistics, 1985, 3, (3), 216-27 View citations (165)

1984

  1. A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
    Economics Letters, 1984, 15, (3-4), 301-307 Downloads View citations (2)

1983

  1. 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 (18)
  2. Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response
    Journal of Business & Economic Statistics, 1983, 1, (4), 313-15 View citations (2)

1982

  1. Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations
    Bulletin of Economic Research, 1982, 34, (2), 79-91 View citations (8)

1981

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

1980

  1. On Comparing Regression Models in Levels and First Differences
    International Economic Review, 1980, 21, (3), 707-20 Downloads View citations (3)
  2. Testing for Serial Correlation in Simultaneous Equation Models
    Econometrica, 1980, 48, (3), 747-59 Downloads View citations (2)

1978

  1. Linear Regression in the Frequency Domain
    International Economic Review, 1978, 19, (2), 507-12 Downloads View citations (8)

1977

  1. Testing for functional misspecification in regression analysis
    Journal of Econometrics, 1977, 6, (1), 103-119 Downloads View citations (10)

1976

  1. 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 Downloads
  2. Estimating Regression Models with Multiplicative Heteroscedasticity
    Econometrica, 1976, 44, (3), 461-65 Downloads View citations (112)

1974

  1. A comparison of the power of some tests for heteroskedasticity in the general linear model
    Journal of Econometrics, 1974, 2, (4), 307-316 Downloads View citations (3)

Books

2013

  1. Dynamic Models for Volatility and Heavy Tails
    Cambridge Books, Cambridge University Press View citations (9)
    Also in Cambridge Books, Cambridge University Press (2013) View citations (9)

1991

  1. Forecasting, Structural Time Series Models and the Kalman Filter
    Cambridge Books, Cambridge University Press View citations (43)
    Also in Cambridge Books, Cambridge University Press (1990) View citations (77)

1990

  1. The Econometric Analysis of Time Series, 2nd Edition, vol 1
    MIT Press Books, The MIT Press View citations (105)

Edited books

2012

  1. State Space and Unobserved Component Models
    Cambridge Books, Cambridge University Press

2005

  1. Readings in Unobserved Components Models
    OUP Catalogue, Oxford University Press View citations (9)

2004

  1. State Space and Unobserved Component Models
    Cambridge Books, Cambridge University Press View citations (2)

Chapters

2006

  1. Forecasting with Unobserved Components Time Series Models
    Elsevier Downloads View citations (13)

2002

  1. Trends, Cycles, and Convergence
    Chapter 8 in Economic Growth: Sources, Trends, and Cycles, 2002, vol. 6, pp 221-250 Downloads
    See also Working Paper (2002)

1977

  1. Discriminations Between CES and VES Production Functions
    A chapter in Annals of Economic and Social Measurement, Volume 6, number 4, 1977, pp 463-471 Downloads

Software Items

 
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