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Andrew C. Harvey

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Personal Details

First Name: Andrew
Middle Name: C.
Last Name: Harvey
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RePEc Short-ID: pha279

Email: [This author has chosen not to make the email address public]
Homepage: http://www.econ.cam.ac.uk/faculty/harvey/
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This author is among the top 5% authors according to these criteria:
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Works

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]
    Other versions:

  2. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0702, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]
    Other versions:

  3. Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research Department. [Downloadable!]

  4. Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti, 2006. "Inflation convergence and divergence within the European Monetary Union," Working Paper Series 574, European Central Bank. [Downloadable!]
    Published as:

  5. Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers) 575, Bank of Italy, Economic Research Department. [Downloadable!]
    Published as:

  6. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]

  7. Carvalho, Vasco M & Harvey, Andrew, 2004. "Convergence and Cycles in the Euro Zone," CEPR Discussion Papers 4726, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  8. Herman K. van Dijk & Andrew Harvey & Thomas Trimbur, 2004. "Cyclical components in economic time series: A Bayesian approach," Econometric Society 2004 Australasian Meetings 105, Econometric Society. [Downloadable!]
    Other versions:

  9. Andrew Harvey, 2004. "Trend estimation, signal-noise ratios and the frequency of observations," Econometric Society 2004 Australasian Meetings 343, Econometric Society.

  10. Harvey, A. & Bates, D., 2003. "Multivariate Unit Root Tests and Testing for Convergence," Cambridge Working Papers in Economics 0301, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]

  11. Vasco M.Carvalho & Andrew C.Harvey, 2002. "Growth, Cycles and Convergence in US Regional Time Series," Cambridge Working Papers in Economics 0221, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]
    Published as:

  12. Andrew Harvey, 2002. "Trends, Cycles and Convergence," Working Papers Central Bank of Chile 155, Central Bank of Chile. [Downloadable!]

  13. A.C. Harvey & T.M. Trimbur & H.K. Van Dijk, 2002. "Cyclical components in economic time series," Econometric Institute Report 293, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  14. Busettti, F. & Harvey, A., 2002. "Testing for Drift in a Time Series," Cambridge Working Papers in Economics 0237, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]

  15. Harvey, A. & Vasco Carvalho, 2002. "Models for Converging Economies," Cambridge Working Papers in Economics 0216, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]

  16. Harvey, A.C. & Trimbur, T.M., 2001. "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics 0113, Faculty of Economics (formerly DAE), University of Cambridge. [Downloadable!]
    Published as:

  17. Jared Bernstein & Andrew Harvey, 2000. "Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages," Econometric Society World Congress 2000 Contributed Papers 0861, Econometric Society. [Downloadable!]
    Published as:

  18. A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers 0888, Econometric Society. [Downloadable!]
    Published as:

  19. Ather Akbari & Kimberly Fisher & Jonathan Gershuny & Andrew Harvey, 2000. "Statistics on Working Time Arrangements Based on Time-Use Survey Data," ISER working papers 2000-22, Institute for Social and Economic Research. [Downloadable!]

  20. Nyblom, Jukka & Harvey, Andrew, 1999. "Tests of Common Stochastic Trends," Cambridge Working Papers in Economics 9902, Faculty of Economics (formerly DAE), University of Cambridge.
    Published as:

  21. Harvey, A. & Koopman, S.J., 1999. "Signal extraction and the formulation of unobserved components models," Discussion Paper 44, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  22. Fabio Busetti & Andrew C Harvey, 1998. "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 /1998/365, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

  23. Andrew C Harvey & Siem Jan Koopman & J Penzer, 1997. "Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.)," STICERD - Econometrics Paper Series /1997/327, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

  24. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:

  25. A Harvey & A Scott, 1994. "Seasonality in Dynamic Regression Models," CEP Discussion Papers 0184, Centre for Economic Performance, LSE.
    Published as:

Articles

  1. Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007. "Trends and cycles in economic time series: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 127(2), pages 618-649, October. [Downloadable!] (restricted)

  2. Carvalho, Vasco & Harvey, Andrew & Trimbur, Thomas, 2007. "A Note on Common Cycles, Common Trends, and Convergence," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 12-20, January. [Downloadable!] (restricted)

  3. Busetti, Fabio & Harvey, Andrew, 2007. "Testing For Trend," Econometric Theory, Cambridge University Press, vol. 24(01), pages 72-87, September. [Downloadable!]

  4. Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti, 2007. "Inflation Convergence and Divergence within the European Monetary Union," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 95-121, June. [Downloadable!]
    Other versions:

  5. Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergence of Prices and Rates of Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 863-877, December. [Downloadable!] (restricted)
    Other versions:

  6. Andrew C. Harvey & Vasco M. Carvalho, 2005. "Convergence in the trends and cycles of Euro-zone income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 275-289. [Downloadable!]

  7. Carvalho, Vasco M. & Harvey, Andrew C., 2005. "Growth, cycles and convergence in US regional time series," International Journal of Forecasting, Elsevier, vol. 21(4), pages 667-686. [Downloadable!] (restricted)
    Other versions:

  8. Fabio Busetti & Andrew Harvey, 2003. "Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(2), pages 137-140, 03. [Downloadable!] (restricted)

  9. Andrew Harvey & Jared Bernstein, 2003. "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, vol. 85(1), pages 141-152, 08. [Downloadable!] (restricted)
    Other versions:

  10. Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May. [Downloadable!] (restricted)
    Other versions:

  11. Busetti, Fabio & Harvey, Andrew, 2003. "Seasonality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 420-36, July.

  12. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, 03. [Downloadable!] (restricted)
    Other versions:

  13. Harvey, Andrew, 2001. "Testing in Unobserved Components Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 1-19, January.

  14. Jukka Nyblom & Andrew Harvey, 2001. "Testing against smooth stochastic trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 415-429. [Downloadable!]

  15. Andrew Harvey & Siem Jan Koopman, 2000. "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
    Other versions:

  16. Proietti, Tommaso & Harvey, Andrew, 2000. "A Beveridge-Nelson smoother," Economics Letters, Elsevier, vol. 67(2), pages 139-146, May. [Downloadable!] (restricted)

  17. Andrew Harvey & Chia-Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal Of The Royal Statistical Society Series A, Royal Statistical Society, vol. 127(3), pages 303-309. [Downloadable!] (restricted)

  18. Nyblom, Jukka & Harvey, Andrew, 2000. "Tests Of Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 16(02), pages 176-199, April. [Downloadable!]
    Other versions:

  19. Harvey, Andrew & Streibel, Mariane, 1998. "Testing for a slowly changing level with special reference to stochastic volatility," Journal of Econometrics, Elsevier, vol. 87(1), pages 167-189, August. [Downloadable!] (restricted)

  20. Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997. "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 354-68, July.

  21. Harvey, Andrew, 1997. "Trends, Cycles and Autoregressions," Economic Journal, Royal Economic Society, vol. 107(440), pages 192-201, January. [Downloadable!] (restricted)

  22. Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-34, October.

  23. Harvey, Andrew & Toulson, Sabine, 1994. "Review of '4thought'," International Journal of Forecasting, Elsevier, vol. 10(1), pages 35-41, June. [Downloadable!] (restricted)

  24. Harvey, Andrew C & Ruiz, Esther, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 402-03, October.

  25. Harvey, Andrew & Scott, Andrew, 1994. "Seasonality in Dynamic Regression Models," Economic Journal, Royal Economic Society, vol. 104(427), pages 1324-45, November. [Downloadable!] (restricted)
    Other versions:

  26. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Blackwell Publishing, vol. 61(2), pages 247-64, April. [Downloadable!] (restricted)

  27. Streibel, Mariane & Harvey, Andrew, 1993. "Estimation of simultaneous equation models with stochastic trend components," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 263-287. [Downloadable!] (restricted)

  28. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept. [Downloadable!] (restricted)

  29. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.

  30. Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157. [Downloadable!] (restricted)

  31. Harvey, Andrew C & Marshall, Pablo, 1991. "Inter-fuel Substitution, Technical Change and the Demand for Energy in the UK Economy," Applied Economics, Taylor and Francis Journals, vol. 23(6), pages 1077-86, June.

  32. Harvey, Andrew & Snyder, Ralph D., 1990. "Structural time series models in inventory control," International Journal of Forecasting, Elsevier, vol. 6(2), pages 187-198, July. [Downloadable!] (restricted)

  33. Fernandez, F Javier & Harvey, Andrew C, 1990. "Seemingly Unrelated Time Series Equations and a Test for Homogeneity," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 71-81, January.

  34. Harvey, A. C. & Stock, James H., 1989. "Estimating integrated higher-order continuous time autoregressions with an application to money-income causality," Journal of Econometrics, Elsevier, vol. 42(3), pages 319-336, November. [Downloadable!] (restricted)

  35. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 407-17, October.

  36. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 422, October.

  37. Harvey, A. C. & Stock, James H., 1988. "Continuous time autoregressive models with common stochastic trends," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 365-384. [Downloadable!] (restricted)

  38. Harvey, A C, et al, 1986. "Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations," Economic Journal, Royal Economic Society, vol. 96(384), pages 975-85, December. [Downloadable!] (restricted)

  39. Harvey, A. C., 1986. "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 p," International Journal of Forecasting, Elsevier, vol. 2(4), pages 496-497. [Downloadable!] (restricted)

  40. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.

  41. Phillips, G. D. A. & Harvey, A. C., 1984. "A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models," Economics Letters, Elsevier, vol. 15(3-4), pages 301-307. [Downloadable!] (restricted)

  42. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 299-307, October.

  43. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 313-15, October.

  44. Harvey, Andrew C & Phillips, Garry D A, 1982. "Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations," Bulletin of Economic Research, Blackwell Publishing, vol. 34(2), pages 79-91, November.

  45. Harvey, A. C. & Phillips, G. D. A., 1981. "Testing for heteroscedasticity in simultaneous equation models," Journal of Econometrics, Elsevier, vol. 15(3), pages 311-340, April. [Downloadable!] (restricted)

  46. Harvey, A. C. & Phillips, G. D. A., 1981. "Testing for serial correlation in simultaneous equation models : Some further results," Journal of Econometrics, Elsevier, vol. 17(1), pages 99-105, September. [Downloadable!] (restricted)

  47. Harvey, A C & Phillips, G D A, 1980. "Testing for Serial Correlation in Simultaneous Equation Models," Econometrica, Econometric Society, vol. 48(3), pages 747-59, April. [Downloadable!] (restricted)

  48. Harvey, A C, 1980. "On Comparing Regression Models in Levels and First Differences," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 707-20, October. [Downloadable!] (restricted)

  49. Harvey, Andrew C, 1978. "Linear Regression in the Frequency Domain," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 507-12, June. [Downloadable!] (restricted)

  50. Harvey, Andrew C. & Collier, Patrick, 1977. "Testing for functional misspecification in regression analysis," Journal of Econometrics, Elsevier, vol. 6(1), pages 103-119, July. [Downloadable!] (restricted)

  51. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-65, May. [Downloadable!] (restricted)

  52. Harvey, A C, 1976. "A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 506-09, June. [Downloadable!] (restricted)

  53. Harvey, A. C. & Phillips, G. D. A., 1974. "A comparison of the power of some tests for heteroskedasticity in the general linear model," Journal of Econometrics, Elsevier, vol. 2(4), pages 307-316, December. [Downloadable!] (restricted)

Chapters

  1. Harvey, Andrew, 2006. "Forecasting with Unobserved Components Time Series Models," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (3) 2006-05-27 2007-03-10 2007-03-10
  2. NEP-DEV: Development (1) 2002-06-13
  3. NEP-DGE: Dynamic General Equilibrium (1) 2001-07-30
  4. NEP-ECM: Econometrics (13) 1999-07-28 2001-07-30 2002-06-13 2002-11-28 2002-12-11 2003-01-05 2006-05-27 2006-07-28 2007-03-10 2007-03-10 2007-03-10 2007-05-19 2007-05-19 Author is listed
  5. NEP-EEC: European Economics (1) 2006-01-24
  6. NEP-ETS: Econometric Time Series (12) 1999-07-28 2001-07-30 2002-11-28 2002-12-09 2003-01-05 2003-01-12 2006-07-28 2007-03-10 2007-03-10 2007-03-10 2007-05-19 2007-05-19 Author is listed
  7. NEP-FOR: Forecasting (2) 2006-07-28 2007-05-19
  8. NEP-LAM: Central & South America (1) 2002-06-13
  9. NEP-MAC: Macroeconomics (1) 2006-01-24
  10. NEP-MON: Monetary Economics (2) 2006-01-24 2006-05-27
  11. NEP-RMG: Risk Management (3) 2002-12-09 2003-01-05 2006-07-28
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