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 2024-09-05. Update your information in the RePEc Author Service.

Short-id: pha279

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Working Papers

2024

1. Forecasting epidemic trajectories: Time Series Growth Curves package tsgc
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
2. Hidden Threshold Models with applications to asymmetric cycles
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2021

3. Regime switching models for directional and linear observations
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
4. Score-driven time series models
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
5. Time series modeling of epidemics: leading indicators, control groups and policy assessment
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   See also Journal Article TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT, National Institute Economic Review, National Institute of Economic and Social Research (2021) (2021)

2020

6. Time series models for epidemics: leading indicators, control groups and policy assessment
   National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (1)

2019

7. Dynamic Tobit models
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
8. Modeling directional (circular) time series
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
9. Score-Driven Models for Realized Volatility
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
   See also Journal Article Score-driven models for realized volatility, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)

2017

10. Co-integration and control: assessing the impact of events using time series data
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
    See also Journal Article Cointegration and control: Assessing the impact of events using time series data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (5) (2021)
11. Modeling time series with zero observations
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)

2015

12. Modeling the Interactions between Volatility and Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
13. Trend, Seasonality and Seasonal Adjustment
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA
14. Volatility Modeling with a Generalized t-distribution
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (17)
    See also Journal Article Volatility Modeling with a Generalized t Distribution, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (36) (2017)

2014

15. Testing against Changing Correlation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    See also Journal Article Testing against changing correlation, Journal of Empirical Finance, Elsevier (2016) View citations (15) (2016)
16. Time series models with an EGB2 conditional distribution
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (23)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (2)
    See also Journal Article Time-series models with an EGB2 conditional distribution, Journal of Time Series Analysis, Wiley Blackwell (2014) View citations (21) (2014)
17. Two EGARCH models and one fat tail
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (2)

2012

18. EGARCH models with fat tails, skewness and leverage
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (26)
    See also Journal Article EGARCH models with fat tails, skewness and leverage, Computational Statistics & Data Analysis, Elsevier (2014) View citations (89) (2014)
19. Filtering with heavy tails
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
    See also Journal Article Filtering With Heavy Tails, Journal of the American Statistical Association, Taylor & Francis Journals (2014) View citations (95) (2014)
20. The Dyanamic Location/Scale Model: with applications to intra-day financial data
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)

2010

21. Exponential Conditional Volatility Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (10)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2010) View citations (10)

2008

22. Beta-t-(E)GARCH
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
23. Dynamic distributions and changing copulas
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
24. Modeling the Phillips curve with unobserved components
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
    See also Journal Article Modelling the Phillips curve with unobserved components, Applied Financial Economics, Taylor & Francis Journals (2011) View citations (29) (2011)
25. When is a copula constant? A test for changing relationships
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
    See also Journal Article When is a Copula Constant? A Test for Changing Relationships, Journal of Financial Econometrics, Oxford University Press (2011) View citations (43) (2011)

2007

26. Quantiles, Expectiles and Splines
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (4)
    See also Journal Article Quantiles, expectiles and splines, Journal of Econometrics, Elsevier (2009) View citations (54) (2009)
27. Testing for trend
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (19)
    See also Journal Article TESTING FOR TREND, Econometric Theory, Cambridge University Press (2008) View citations (17) (2008)
28. Tests of time-invariance
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (5)

2006

29. Convergences of prices and rates of inflation
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (20)
    See also Journal Article Convergence of Prices and Rates of Inflation*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (35) (2006)
30. Inflation convergence and divergence within the European Monetary Union
    Working Paper Series, European Central Bank View citations (66)
    See also Journal Article Inflation Convergence and Divergence within the European Monetary Union, International Journal of Central Banking, International Journal of Central Banking (2007) View citations (93) (2007)
31. Time-Varying Quantiles
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (18)

2005

32. Trends and cycles in economic time series: A Bayesian approach
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)
    See also Journal Article Trends and cycles in economic time series: A Bayesian approach, Journal of Econometrics, Elsevier (2007) View citations (78) (2007)

2004

33. 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 View citations (3)
34. Convergence and Cycles in the Euro Zone
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
35. Cyclical components in economic time series: A Bayesian approach
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (8)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (3)
36. Trend estimation, signal-noise ratios and the frequency of observations
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (4)

2003

37. Multivariate Unit Root Tests and Testing for Convergence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (28)

2002

38. Cyclical components in economic time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
39. Growth, Cycles and Convergence in US Regional Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
    See also Journal Article Growth, cycles and convergence in US regional time series, International Journal of Forecasting, Elsevier (2005) View citations (28) (2005)
40. Models for Converging Economies
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (13)
41. Testing for Drift in a Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
42. Trends, Cycles and Convergence
    Working Papers Central Bank of Chile, Central Bank of Chile View citations (2)
    See also Chapter Trends, Cycles, and Convergence, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2002) View citations (2) (2002)

2001

43. 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 (24)
    See also Journal Article General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series, The Review of Economics and Statistics, MIT Press (2003) View citations (173) (2003)

2000

44. Computing Observation Weights for Signal Extraction and Filtering
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    See also Journal Article Computing observation weights for signal extraction and filtering, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (82) (2003)
45. 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 (2)
    See also Journal Article Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages, The Review of Economics and Statistics, MIT Press (2003) View citations (7) (2003)

1999

46. Signal Extraction and the Formulation of Unobserved Components Models
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
    See also Journal Article Signal extraction and the formulation of unobserved components models, Econometrics Journal, Royal Economic Society (2000) View citations (57) (2000)
47. Tests of Common Stochastic Trends
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article TESTS OF COMMON STOCHASTIC TRENDS, Econometric Theory, Cambridge University Press (2000) View citations (104) (2000)

1998

48. 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
49. 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 View citations (10)
    See also Journal Article Testing for the Presence of a Random Walk in Series with Structural Breaks, Journal of Time Series Analysis, Wiley Blackwell (2001) View citations (44) (2001)

1997

50. 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

51. 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 View citations (2)
52. Stochastic Volatility
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (251)
    Also in Working Papers, Toulouse - GREMAQ (1995) View citations (113)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (253)
    CIRANO Working Papers, CIRANO (1995) View citations (15)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (15)
53. 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

54. 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

55. Seasonality in Dynamic Regression Models
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations (60)
    See also Journal Article Seasonality in Dynamic Regression Models, Economic Journal, Royal Economic Society (1994) View citations (60) (1994)

1993

56. Estimation and Testing of Stochastic Variance Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (25)
57. 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

58. 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

Journal Articles

2024

1. Modelling circular time series
   Journal of Econometrics, 2024, 239, (1)

2023

2. Regime switching models for circular and linear time series
   Journal of Time Series Analysis, 2023, 44, (4), 374-392 View citations (1)
3. Score-driven models for realized volatility
   Journal of Econometrics, 2023, 237, (2) View citations (1)
   See also Working Paper Score-Driven Models for Realized Volatility, Cambridge Working Papers in Economics (2019) View citations (1) (2019)
4. Time-Varying Parameters in Econometrics: The editor’s foreword
   Journal of Econometrics, 2023, 237, (2)

2021

5. Cointegration and control: Assessing the impact of events using time series data
   Journal of Applied Econometrics, 2021, 36, (1), 71-85 View citations (5)
   See also Working Paper Co-integration and control: assessing the impact of events using time series data, Cambridge Working Papers in Economics (2017) View citations (3) (2017)
6. TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT
   National Institute Economic Review, 2021, 257, 83-100
   See also Working Paper Time series modeling of epidemics: leading indicators, control groups and policy assessment, Cambridge Working Papers in Economics (2021) (2021)
7. TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021
   National Institute Economic Review, 2021, 256, 110-126

2020

8. Modeling time series when some observations are zero
   Journal of Econometrics, 2020, 214, (1), 33-45 View citations (8)

2018

9. Modeling the Interactions between Volatility and Returns using EGARCH‐M
   Journal of Time Series Analysis, 2018, 39, (6), 909-919 View citations (13)

2017

10. Volatility Modeling with a Generalized t Distribution
    Journal of Time Series Analysis, 2017, 38, (2), 175-190 View citations (36)
    See also Working Paper Volatility Modeling with a Generalized t-distribution, Cambridge Working Papers in Economics (2015) View citations (17) (2015)

2016

11. Robust time series models with trend and seasonal components
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 99-120 View citations (12)
12. Testing against changing correlation
    Journal of Empirical Finance, 2016, 38, (PB), 575-589 View citations (15)
    See also Working Paper Testing against Changing Correlation, Cambridge Working Papers in Economics (2014) View citations (1) (2014)

2014

13. EGARCH models with fat tails, skewness and leverage
    Computational Statistics & Data Analysis, 2014, 76, (C), 320-338 View citations (89)
    See also Working Paper EGARCH models with fat tails, skewness and leverage, Cambridge Working Papers in Economics (2012) View citations (26) (2012)
14. Filtering With Heavy Tails
    Journal of the American Statistical Association, 2014, 109, (507), 1112-1122 View citations (95)
    See also Working Paper Filtering with heavy tails, Cambridge Working Papers in Economics (2012) View citations (7) (2012)
15. Time-series models with an EGB2 conditional distribution
    Journal of Time Series Analysis, 2014, 35, (6), 558-571 View citations (21)
    See also Working Paper Time series models with an EGB2 conditional distribution, Temi di discussione (Economic working papers) (2014) View citations (23) (2014)

2012

16. Kernel density estimation for time series data
    International Journal of Forecasting, 2012, 28, (1), 3-14 View citations (22)

2011

17. Modelling the Phillips curve with unobserved components
    Applied Financial Economics, 2011, 21, (1-2), 7-17 View citations (29)
    See also Working Paper Modeling the Phillips curve with unobserved components, Cambridge Working Papers in Economics (2008) View citations (8) (2008)
18. When is a Copula Constant? A Test for Changing Relationships
    Journal of Financial Econometrics, 2011, 9, (1), 106-131 View citations (43)
    See also Working Paper When is a copula constant? A test for changing relationships, Cambridge Working Papers in Economics (2008) View citations (9) (2008)

2010

19. Tests of strict stationarity based on quantile indicators
    Journal of Time Series Analysis, 2010, 31, (6), 435-450 View citations (9)
20. The local quadratic trend model
    Journal of Forecasting, 2010, 29, (1-2), 94-108 View citations (6)
21. Tracking a changing copula
    Journal of Empirical Finance, 2010, 17, (3), 485-500 View citations (14)

2009

22. 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 View citations (9)
23. Quantiles, expectiles and splines
    Journal of Econometrics, 2009, 152, (2), 179-185 View citations (54)
    See also Working Paper Quantiles, Expectiles and Splines, Cambridge Working Papers in Economics (2007) View citations (2) (2007)

2008

24. TESTING FOR TREND
    Econometric Theory, 2008, 24, (1), 72-87 View citations (17)
    See also Working Paper Testing for trend, Temi di discussione (Economic working papers) (2007) View citations (19) (2007)

2007

25. A Note on Common Cycles, Common Trends, and Convergence
    Journal of Business & Economic Statistics, 2007, 25, 12-20 View citations (18)
26. Inflation Convergence and Divergence within the European Monetary Union
    International Journal of Central Banking, 2007, 3, (2), 95-121 View citations (93)
    See also Working Paper Inflation convergence and divergence within the European Monetary Union, Working Paper Series (2006) View citations (66) (2006)
27. Trends and cycles in economic time series: A Bayesian approach
    Journal of Econometrics, 2007, 140, (2), 618-649 View citations (78)
    See also Working Paper Trends and cycles in economic time series: A Bayesian approach, Econometric Institute Research Papers (2005) View citations (7) (2005)

2006

28. Convergence of Prices and Rates of Inflation*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 863-877 View citations (35)
    See also Working Paper Convergences of prices and rates of inflation, Temi di discussione (Economic working papers) (2006) View citations (20) (2006)

2005

29. Convergence in the trends and cycles of Euro-zone income
    Journal of Applied Econometrics, 2005, 20, (2), 275-289 View citations (25)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 275-289 (2005) View citations (2)
30. Growth, cycles and convergence in US regional time series
    International Journal of Forecasting, 2005, 21, (4), 667-686 View citations (28)
    See also Working Paper Growth, Cycles and Convergence in US Regional Time Series, Cambridge Working Papers in Economics (2002) View citations (5) (2002)

2003

31. Computing observation weights for signal extraction and filtering
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1317-1333 View citations (82)
    See also Working Paper Computing Observation Weights for Signal Extraction and Filtering, Econometric Society World Congress 2000 Contributed Papers (2000) (2000)
32. 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 (15)
33. 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 (173)
    See also Working Paper General Model-based Filters for Extracting Cycles and Trends in Economic Time Series, Cambridge Working Papers in Economics (2001) View citations (24) (2001)
34. 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 (7)
    See also Working Paper Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (2) (2000)
35. Seasonality Tests
    Journal of Business & Economic Statistics, 2003, 21, (3), 420-36 View citations (21)

2001

36. Testing against smooth stochastic trends
    Journal of Applied Econometrics, 2001, 16, (3), 415-429 View citations (24)
37. Testing for the Presence of a Random Walk in Series with Structural Breaks
    Journal of Time Series Analysis, 2001, 22, (2), 127-150 View citations (44)
    See also Working Paper Testing for the presence of a random walk in series with structural breaks, LSE Research Online Documents on Economics (1998) View citations (10) (1998)
38. Testing in Unobserved Components Models
    Journal of Forecasting, 2001, 20, (1), 1-19 View citations (33)

2000

39. A Beveridge-Nelson smoother
    Economics Letters, 2000, 67, (2), 139-146 View citations (13)
40. Estimating the underlying change in unemployment in the UK
    Journal of the Royal Statistical Society Series A, 2000, 163, (3), 303-309 View citations (65)
41. Signal extraction and the formulation of unobserved components models
    Econometrics Journal, 2000, 3, (1), 84-107 View citations (57)
    See also Working Paper Signal Extraction and the Formulation of Unobserved Components Models, Discussion Paper (1999) View citations (2) (1999)
42. TESTS OF COMMON STOCHASTIC TRENDS
    Econometric Theory, 2000, 16, (2), 176-199 View citations (104)
    See also Working Paper Tests of Common Stochastic Trends, Cambridge Working Papers in Economics (1999) View citations (2) (1999)

1998

43. Testing for a slowly changing level with special reference to stochastic volatility
    Journal of Econometrics, 1998, 87, (1), 167-189 View citations (20)
44. Tests for Deterministic Versus Indeterministic Cycles
    Journal of Time Series Analysis, 1998, 19, (5), 505-529 View citations (2)

1997

45. The Modeling and Seasonal Adjustment of Weekly Observations
    Journal of Business & Economic Statistics, 1997, 15, (3), 354-68 View citations (46)
46. Trends, Cycles and Autoregressions
    Economic Journal, 1997, 107, (440), 192-201 View citations (96)

1996

47. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
    Journal of Business & Economic Statistics, 1996, 14, (4), 429-34 View citations (257)

1994

48. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 402-03 View citations (1)
49. Multivariate Stochastic Variance Models
    The Review of Economic Studies, 1994, 61, (2), 247-264 View citations (617)
50. Review of '4thought'
    International Journal of Forecasting, 1994, 10, (1), 35-41 View citations (1)
51. Seasonality in Dynamic Regression Models
    Economic Journal, 1994, 104, (427), 1324-45 View citations (60)
    See also Working Paper Seasonality in Dynamic Regression Models, CEP Discussion Papers (1994) View citations (60) (1994)

1993

52. Detrending, Stylized Facts and the Business Cycle
    Journal of Applied Econometrics, 1993, 8, (3), 231-47 View citations (742)
53. Estimation of simultaneous equation models with stochastic trend components
    Journal of Economic Dynamics and Control, 1993, 17, (1-2), 263-287 View citations (3)

1992

54. Diagnostic Checking of Unobserved-Components Time Series Models
    Journal of Business & Economic Statistics, 1992, 10, (4), 377-89 View citations (170)
55. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations (214)

1990

56. ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
    Journal of Time Series Analysis, 1990, 11, (4), 339-347 View citations (48)
57. Seemingly Unrelated Time Series Equations and a Test for Homogeneity
    Journal of Business & Economic Statistics, 1990, 8, (1), 71-81 View citations (8)
58. Structural time series models in inventory control
    International Journal of Forecasting, 1990, 6, (2), 187-198 View citations (75)

1989

59. Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
    Journal of Econometrics, 1989, 42, (3), 319-336 View citations (13)
60. Time Series Models for Count or Qualitative Observations
    Journal of Business & Economic Statistics, 1989, 7, (4), 407-17 View citations (61)
61. Time Series Models for Count or Qualitative Observations: Reply
    Journal of Business & Economic Statistics, 1989, 7, (4), 422 View citations (59)

1988

62. Continuous time autoregressive models with common stochastic trends
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 365-384 View citations (25)
63. EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
    Journal of Time Series Analysis, 1988, 9, (3), 201-214 View citations (5)

1987

64. Forecasting and Interpolation Using Vector Autoregressions with Common Trends
    Annals of Economics and Statistics, 1987, (6-7), 279-287 View citations (10)

1986

65. Analysis and Generalisation of a Multivariate Exponential Smoothing Model
    Management Science, 1986, 32, (3), 374-380 View citations (23)
66. Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations
    Economic Journal, 1986, 96, (384), 975-85 View citations (46)
67. 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 (10)

1985

68. The Estimation of Higher-Order Continuous Time Autoregressive Models
    Econometric Theory, 1985, 1, (1), 97-117 View citations (28)
69. The estimation of dynamic models with missing observations
    Brazilian Review of Econometrics, 1985, 5, (2) View citations (1)
70. Trends and Cycles in Macroeconomic Time Series
    Journal of Business & Economic Statistics, 1985, 3, (3), 216-27 View citations (371)

1984

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

1983

72. 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 (76)
73. 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 (68)

1982

74. Finite Sample Prediction from Arima Processes
    Journal of the Royal Statistical Society Series C, 1982, 31, (2), 180-187
75. Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations
    Bulletin of Economic Research, 1982, 34, (2), 79-91 View citations (11)

1981

76. FINITE SAMPLE PREDICTION AND OVERDIFFERENCING
    Journal of Time Series Analysis, 1981, 2, (4), 221-232 View citations (1)
77. Testing for heteroscedasticity in simultaneous equation models
    Journal of Econometrics, 1981, 15, (3), 311-340 View citations (3)
78. Testing for serial correlation in simultaneous equation models: Some further results
    Journal of Econometrics, 1981, 17, (1), 99-105

1980

79. An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering
    Journal of the Royal Statistical Society Series C, 1980, 29, (3), 311-322 View citations (19)
80. On Comparing Regression Models in Levels and First Differences
    International Economic Review, 1980, 21, (3), 707-20 View citations (10)
81. Testing for Serial Correlation in Simultaneous Equation Models
    Econometrica, 1980, 48, (3), 747-59 View citations (5)

1978

82. Linear Regression in the Frequency Domain
    International Economic Review, 1978, 19, (2), 507-12 View citations (15)

1977

83. Some Comments on Multicollinearity in Regression
    Journal of the Royal Statistical Society Series C, 1977, 26, (2), 188-191
84. Testing for functional misspecification in regression analysis
    Journal of Econometrics, 1977, 6, (1), 103-119 View citations (16)

1976

85. 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
86. Estimating Regression Models with Multiplicative Heteroscedasticity
    Econometrica, 1976, 44, (3), 461-65 View citations (329)

1974

87. 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 (10)

Books

2013

1. Dynamic Models for Volatility and Heavy Tails
   Cambridge Books, Cambridge University Press View citations (321)
   Also in Cambridge Books, Cambridge University Press (2013) View citations (321)

1991

2. Forecasting, Structural Time Series Models and the Kalman Filter
   Cambridge Books, Cambridge University Press View citations (114)
   Also in Cambridge Books, Cambridge University Press (1990) View citations (383)

1990

3. The Econometric Analysis of Time Series, 2nd Edition, vol 1
   MIT Press Books, The MIT Press View citations (261)

Edited books

2012

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

2005

2. Readings in Unobserved Components Models
   OUP Catalogue, Oxford University Press View citations (38)

1994

3. TIME SERIES, vol Two volume set
   Books, Edward Elgar Publishing View citations (61)

Chapters

2019

1. James Durbin (1923–2012)
   Palgrave Macmillan

2006

2. Forecasting with Unobserved Components Time Series Models
   Elsevier View citations (61)

2002

3. Trends, Cycles, and Convergence
   Chapter 8 in Economic Growth: Sources, Trends, and Cycles, 2002, vol. 6, pp 221-250 View citations (2)
   See also Working Paper Trends, Cycles and Convergence, Central Bank of Chile (2002) View citations (2) (2002)

1999

4. MESSY TIME SERIES
   A chapter in Messy Data, 1999, pp 103-143

1977

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