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Andrew C. Harvey

Not to be confused with: Andrew Sydney Harvey

Personal Details

First Name:Andrew
Middle Name:C.
Last Name:Harvey
Suffix:
RePEc Short-ID:pha279
[This author has chosen not to make the email address public]
http://www.econ.cam.ac.uk/faculty/harvey/

Affiliation

Faculty of Economics
University of Cambridge

Cambridge, United Kingdom
https://www.econ.cam.ac.uk/
RePEc:edi:fecamuk (more details at EDIRC)

Research output

as
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Working papers

  1. Ashby, M. & Harvey, A. & Kattuman, P. & Thamotheram, C., 2024. "Forecasting epidemic trajectories: Time Series Growth Curves package tsgc," Cambridge Working Papers in Economics 2407, Faculty of Economics, University of Cambridge.
  2. Harvey, A. & Simons, J., 2024. "Hidden Threshold Models with applications to asymmetric cycles," Cambridge Working Papers in Economics 2448, Faculty of Economics, University of Cambridge.
  3. Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.
  4. Harvey, A. & Palumbo, D., 2021. "Regime switching models for directional and linear observations," Cambridge Working Papers in Economics 2123, Faculty of Economics, University of Cambridge.
  5. Harvey, A. C., 2021. "Time series modeling of epidemics: leading indicators, control groups and policy assessment," Cambridge Working Papers in Economics 2114, Faculty of Economics, University of Cambridge.
  6. Andrew C. Harvey, 2020. "Time series models for epidemics: leading indicators, control groups and policy assessment," National Institute of Economic and Social Research (NIESR) Discussion Papers 517, National Institute of Economic and Social Research.
  7. Harvey, A. & Hurn, S. & Thiele, S., 2019. "Modeling directional (circular) time series," Cambridge Working Papers in Economics 1971, Faculty of Economics, University of Cambridge.
  8. Harvey, A. & Palumbo, D., 2019. "Score-Driven Models for Realized Volatility," Cambridge Working Papers in Economics 1950, Faculty of Economics, University of Cambridge.
  9. Harvey, A. & Liao, Y., 2019. "Dynamic Tobit models," Cambridge Working Papers in Economics 1913, Faculty of Economics, University of Cambridge.
  10. Andrew Harvey & Ryoko Ito, 2017. "Modeling time series with zero observations," Economics Papers 2017-W01, Economics Group, Nuffield College, University of Oxford.
  11. Harvey, A. & Thiele, S., 2017. "Co-integration and control: assessing the impact of events using time series data," Cambridge Working Papers in Economics 1731, Faculty of Economics, University of Cambridge.
  12. Andrew Harvey & Rutger-Jan Lange, 2015. "Volatility Modeling with a Generalized t-distribution," Cambridge Working Papers in Economics 1517, Faculty of Economics, University of Cambridge.
  13. A. C. Harvey & Pedro L. Valls Pereira, 2015. "Trend, Seasonality and Seasonal Adjustment," Discussion Papers 0019, Instituto de Pesquisa Econômica Aplicada - IPEA.
  14. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
  15. Andrew Harvey & Stephen Thiele, 2014. "Testing against Changing Correlation," Cambridge Working Papers in Economics 1439, Faculty of Economics, University of Cambridge.
  16. Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
  17. Michele Caivano & Andrew Harvey, 2014. "Two EGARCH models and one fat tail," Temi di discussione (Economic working papers) 954, Bank of Italy, Economic Research and International Relations Area.
  18. Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
  19. Harvey, A. & Luati, A., 2012. "Filtering with heavy tails," Cambridge Working Papers in Economics 1255, Faculty of Economics, University of Cambridge.
  20. Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
  21. Harvey, A., 2010. "Exponential Conditional Volatility Models," Cambridge Working Papers in Economics 1040, Faculty of Economics, University of Cambridge.
  22. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge.
  23. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
  24. Harvey, A., 2008. "Modeling the Phillips curve with unobserved components," Cambridge Working Papers in Economics 0805, Faculty of Economics, University of Cambridge.
  25. Busetti, F. & Harvey, A., 2008. "When is a copula constant? A test for changing relationships," Cambridge Working Papers in Economics 0841, Faculty of Economics, University of Cambridge.
  26. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0657, Faculty of Economics, University of Cambridge.
  27. Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research and International Relations Area.
  28. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0660, Faculty of Economics, University of Cambridge.
  29. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
  30. Busetti, Fabio & Forni, Lorenzo & Harvey, Andrew & Venditti, Fabrizio, 2006. "Inflation convergence and divergence within the European Monetary Union," Working Paper Series 574, European Central Bank.
  31. 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 and International Relations Area.
  32. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005. "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Research Papers EI 2005-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  33. Harvey, Andrew & Carvalho, Vasco, 2004. "Convergence and Cycles in the Euro Zone," CEPR Discussion Papers 4726, C.E.P.R. Discussion Papers.
  34. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2004. "Bayes estimates of the cyclical component in twentieth centruy US gross domestic product," Econometric Institute Research Papers EI 2004-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  35. Andrew Harvey, 2004. "Trend estimation, signal-noise ratios and the frequency of observations," Econometric Society 2004 Australasian Meetings 343, Econometric Society.
  36. Harvey, A. & TTrimbur, T. & van Dijk, H., 2003. "Cyclical Components in Economic Time Series: a Bayesian Approach," Cambridge Working Papers in Economics 0302, Faculty of Economics, University of Cambridge.
  37. Harvey, A. & Bates, D., 2003. "Multivariate Unit Root Tests and Testing for Convergence," Cambridge Working Papers in Economics 0301, Faculty of Economics, University of Cambridge.
  38. 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, University of Cambridge.
  39. Busettti, F. & Harvey, A., 2002. "Testing for Drift in a Time Series," Cambridge Working Papers in Economics 0237, Faculty of Economics, University of Cambridge.
  40. Andrew Harvey, 2002. "Trends, Cycles and Convergence," Working Papers Central Bank of Chile 155, Central Bank of Chile.
  41. Harvey, A. & Vasco Carvalho, 2002. "Models for Converging Economies," Cambridge Working Papers in Economics 0216, Faculty of Economics, University of Cambridge.
  42. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2002. "Cyclical components in economic time series," Econometric Institute Research Papers EI 2002-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  43. 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, University of Cambridge.
  44. 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.
  45. 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.
  46. Nyblom, Jukka & Harvey, Andrew, 1999. "Tests of Common Stochastic Trends," Cambridge Working Papers in Economics 9902, Faculty of Economics, University of Cambridge.
  47. Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Discussion Paper 1999-44, Tilburg University, Center for Economic Research.
  48. Busetti, Fabio & Harvey, Andrew, 1998. "Testing for the presence of a random walk in series with structural breaks," LSE Research Online Documents on Economics 6870, London School of Economics and Political Science, LSE Library.
  49. 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 365, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  50. 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 327, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  51. Andrew C Harvey & Siem Jan Koopman, 1996. "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 (19," STICERD - Econometrics Paper Series 307, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  52. Andrew C Harvey & Mariane Streibel, 1996. "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 306, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  53. Andrew C Harvey & Siem Jan Koopman & Marco Riani, 1995. "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 284, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  54. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
  55. Andrew C Harvey & Andrew Scott, 1994. "Seasonality in Dynamic Regression Models," CEP Discussion Papers dp0184, Centre for Economic Performance, LSE.
  56. Andrew C Harvey & N.G. Shephard, 1993. "Estimation and Testing of Stochastic Variance Models," STICERD - Econometrics Paper Series 268, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  57. Andrew C Harvey & Andrew Scott, 1993. "Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)," STICERD - Econometrics Paper Series 266, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  58. Andrew C Harvey & Albert Jaeger, 1991. "Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.)," STICERD - Econometrics Paper Series 230, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

Articles

  1. Harvey, Andrew & Hurn, Stan & Palumbo, Dario & Thiele, Stephen, 2024. "Modelling circular time series," Journal of Econometrics, Elsevier, vol. 239(1).
  2. Andrew Harvey & Dario Palumbo, 2023. "Regime switching models for circular and linear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(4), pages 374-392, July.
  3. Harvey, Andrew & Palumbo, Dario, 2023. "Score-driven models for realized volatility," Journal of Econometrics, Elsevier, vol. 237(2).
  4. Blasques, F. & Harvey, A.C. & Koopman, S.J. & Lucas, A., 2023. "Time-Varying Parameters in Econometrics: The editor’s foreword," Journal of Econometrics, Elsevier, vol. 237(2).
  5. Harvey, Andrew, 2021. "Time Series Modelling Of Epidemics: Leading Indicators, Control Groups And Policy Assessment," National Institute Economic Review, National Institute of Economic and Social Research, vol. 257, pages 83-100, August.
  6. Andrew Harvey & Stephen Thiele, 2021. "Cointegration and control: Assessing the impact of events using time series data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 71-85, January.
  7. Harvey, Andrew & Kattuman, Paul & Thamotheram, Craig, 2021. "Tracking The Mutant: Forecasting And Nowcasting Covid-19 In The Uk In 2021," National Institute Economic Review, National Institute of Economic and Social Research, vol. 256, pages 110-126, April.
  8. Harvey, Andrew & Ito, Ryoko, 2020. "Modeling time series when some observations are zero," Journal of Econometrics, Elsevier, vol. 214(1), pages 33-45.
  9. Andrew Harvey & Rutger‐Jan Lange, 2018. "Modeling the Interactions between Volatility and Returns using EGARCH‐M," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 909-919, November.
  10. Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017. "Volatility Modeling with a Generalized t Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
  11. Harvey, Andrew & Thiele, Stephen, 2016. "Testing against changing correlation," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 575-589.
  12. Michele Caivano & Andrew Harvey & Alessandra Luati, 2016. "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 99-120, March.
  13. Andrew Harvey & Alessandra Luati, 2014. "Filtering With Heavy Tails," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1112-1122, September.
  14. Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
  15. Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  16. Harvey, Andrew & Oryshchenko, Vitaliy, 2012. "Kernel density estimation for time series data," International Journal of Forecasting, Elsevier, vol. 28(1), pages 3-14.
  17. Fabio Busetti & Andrew Harvey, 2011. "When is a Copula Constant? A Test for Changing Relationships," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 106-131, Winter.
  18. Fabio Busetti & Andrew Harvey, 2010. "Tests of strict stationarity based on quantile indicators," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 435-450, November.
  19. Andrew Harvey, 2010. "The local quadratic trend model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 94-108.
  20. Harvey, Andrew, 2010. "Tracking a changing copula," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 485-500, June.
  21. De Rossi, Giuliano & Harvey, Andrew, 2009. "Quantiles, expectiles and splines," Journal of Econometrics, Elsevier, vol. 152(2), pages 179-185, October.
  22. Harvey, Andrew C. & Delle Monache, Davide, 2009. "Computing the mean square error of unobserved components extracted by misspecified time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 283-295, February.
  23. Busetti, Fabio & Harvey, Andrew, 2008. "Testing For Trend," Econometric Theory, Cambridge University Press, vol. 24(1), pages 72-87, February.
  24. 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.
  25. 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.
  26. 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. 140(2), pages 618-649, October.
  27. 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.
  28. 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.
  29. 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.
  30. 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, May.
  31. Busetti, Fabio & Harvey, Andrew, 2003. "Seasonality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 420-436, July.
  32. Fabio Busetti & Andrew Harvey, 2003. "Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 137-140, March.
  33. 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, February.
  34. 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.
  35. Fabio Busetti & Andrew Harvey, 2001. "Testing for the Presence of a Random Walk in Series with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(2), pages 127-150, March.
  36. Jukka Nyblom & Andrew Harvey, 2001. "Testing against smooth stochastic trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 415-429.
  37. Harvey, Andrew, 2001. "Testing in Unobserved Components Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 1-19, January.
  38. Nyblom, Jukka & Harvey, Andrew, 2000. "Tests Of Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 16(2), pages 176-199, April.
  39. 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.
  40. Proietti, Tommaso & Harvey, Andrew, 2000. "A Beveridge-Nelson smoother," Economics Letters, Elsevier, vol. 67(2), pages 139-146, May.
  41. 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. 163(3), pages 303-309.
  42. Andrew Harvey & Mariane Streibel, 1998. "Tests for Deterministic Versus Indeterministic Cycles," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(5), pages 505-529, September.
  43. 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.
  44. 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 354-368, July.
  45. Harvey, Andrew, 1997. "Trends, Cycles and Autoregressions," Economic Journal, Royal Economic Society, vol. 107(440), pages 192-201, January.
  46. 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 429-434, October.
  47. Harvey, Andrew & Toulson, Sabine, 1994. "Review of '4thought'," International Journal of Forecasting, Elsevier, vol. 10(1), pages 35-41, June.
  48. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 247-264.
  49. 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 402-403, October.
  50. Harvey, Andrew & Scott, Andrew, 1994. "Seasonality in Dynamic Regression Models," Economic Journal, Royal Economic Society, vol. 104(427), pages 1324-1345, November.
  51. 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 231-247, July-Sept.
  52. 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.
  53. 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 377-389, October.
  54. 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.
  55. 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.
  56. N. G. Shephard & A. C. Harvey, 1990. "On The Probability Of Estimating A Deterministic Component In The Local Level Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(4), pages 339-347, July.
  57. 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.
  58. 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.
  59. 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 407-417, October.
  60. 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 422-422, October.
  61. A. C. Harvey & P. M. Robinson, 1988. "Efficient Estimation Of Nonstationary Time Series Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(3), pages 201-214, May.
  62. 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.
  63. F. Javier Fernandez Macho & Andrew C. Harvey & James H. Stock, 1987. "Forecasting and Interpolation Using Vector Autoregressions with Common Trends," Annals of Economics and Statistics, GENES, issue 6-7, pages 279-287.
  64. 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.
  65. A. C. Harvey, 1986. "Analysis and Generalisation of a Multivariate Exponential Smoothing Model," Management Science, INFORMS, vol. 32(3), pages 374-380, March.
  66. 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 975-985, December.
  67. Harvey, A. C. & Pereira, Pedro Luiz Valls, 1985. "The estimation of dynamic models with missing observations," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 5(2), November.
  68. Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(1), pages 97-117, April.
  69. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
  70. 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.
  71. 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.
  72. 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 313-315, October.
  73. Harvey, Andrew C & Phillips, Garry D A, 1982. "Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations," Bulletin of Economic Research, Wiley Blackwell, vol. 34(2), pages 79-91, November.
  74. A. C. Harvey & C. R. McKenzie, 1982. "Finite Sample Prediction from Arima Processes," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 31(2), pages 180-187, June.
  75. 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.
  76. A. C. Harvey, 1981. "Finite Sample Prediction And Overdifferencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(4), pages 221-232, July.
  77. 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.
  78. G. Gardner & A. C. Harvey & G. D. A. Phillips, 1980. "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, Royal Statistical Society, vol. 29(3), pages 311-322, November.
  79. Harvey, A C & Phillips, G D A, 1980. "Testing for Serial Correlation in Simultaneous Equation Models," Econometrica, Econometric Society, vol. 48(3), pages 747-759, April.
  80. 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 707-720, October.
  81. 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 507-512, June.
  82. A. C. Harvey, 1977. "Some Comments on Multicollinearity in Regression," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(2), pages 188-191, June.
  83. Harvey, Andrew C. & Collier, Patrick, 1977. "Testing for functional misspecification in regression analysis," Journal of Econometrics, Elsevier, vol. 6(1), pages 103-119, July.
  84. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
  85. 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 506-509, June.
  86. 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.
    RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:7-17 is not listed on IDEAS

Chapters

  1. Andrew Harvey & David Bartholomew, 2019. "James Durbin (1923–2012)," Palgrave Macmillan Books, in: Robert A. Cord (ed.), The Palgrave Companion to LSE Economics, chapter 0, pages 631-640, Palgrave Macmillan.
  2. Harvey, Andrew, 2006. "Forecasting with Unobserved Components Time Series Models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 7, pages 327-412, Elsevier.
  3. Andrew C. Harvey, 2002. "Trends, Cycles, and Convergence," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Raimundo Soto & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Editor) (ed.),Economic Growth: Sources, Trends, and Cycles, edition 1, volume 6, chapter 8, pages 221-250, Central Bank of Chile.
  4. Andrew Harvey & Siem Jan Koopman & Jeremy Penzer, 1999. "Messy Time Series," Advances in Econometrics, in: Messy Data, pages 103-143, Emerald Group Publishing Limited.
  5. A. C. Harvey, 1977. "Discrimination Between CES and VES Production Functions," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 4, pages 463-471, National Bureau of Economic Research, Inc.

Books

  1. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, September.
  2. Harvey,Andrew & Koopman,Siem Jan & Shephard,Neil (ed.), 2012. "State Space and Unobserved Component Models," Cambridge Books, Cambridge University Press, number 9781107407435, September.
  3. Harvey, Andrew & Proietti, Tommaso (ed.), 2005. "Readings in Unobserved Components Models," OUP Catalogue, Oxford University Press, number 9780199278695.
  4. Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar Publishing, volume 0, number 599.
  5. Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, September.
  6. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, April.
    RePEc:cup:cbooks:9780521835954 is not listed on IDEAS

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors
  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  9. Number of Citations
  10. Number of Citations, Discounted by Citation Age
  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors
  16. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h-index
  22. Number of Registered Citing Authors
  23. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  24. Number of Journal Pages
  25. Number of Journal Pages, Weighted by Simple Impact Factor
  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  29. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  30. Number of Abstract Views in RePEc Services over the past 12 months
  31. Number of Downloads through RePEc Services over the past 12 months
  32. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  33. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  34. Euclidian citation score
  35. Closeness measure in co-authorship network
  36. Betweenness measure in co-authorship network
  37. Breadth of citations across fields
  38. Wu-Index
  39. Record of graduates

Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. Andrew Harvey in Wikipedia (German)

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 40 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (33) 2001-07-30 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 2008-06-13 2008-10-28 2008-10-28 2010-09-11 2010-10-16 2012-09-03 2013-01-07 2013-07-28 2013-08-05 2014-01-24 2014-04-05 2014-12-24 2015-05-22 2015-06-20 2017-02-26 2017-09-10 2019-02-18 2019-06-10 2019-08-26 2020-11-02 2021-03-22 2021-04-19 2024-09-23. Author is listed
  2. NEP-ECM: Econometrics (32) 2001-07-30 2002-06-13 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 2008-06-13 2008-10-28 2008-10-28 2008-10-28 2010-09-11 2010-10-16 2012-09-03 2012-10-06 2013-01-07 2013-07-28 2013-08-05 2014-12-24 2015-06-20 2017-02-26 2019-02-18 2019-06-10 2019-08-26 2020-11-02 2021-03-22 2021-04-19 2024-09-23. Author is listed
  3. NEP-FOR: Forecasting (5) 2006-07-28 2007-05-19 2020-11-02 2024-04-15 2024-09-23. Author is listed
  4. NEP-RMG: Risk Management (5) 2002-12-09 2003-01-05 2006-07-28 2015-06-20 2015-07-11. Author is listed
  5. NEP-CBA: Central Banking (4) 2006-05-27 2007-03-10 2007-03-10 2008-06-13
  6. NEP-ORE: Operations Research (3) 2008-10-28 2021-03-22 2021-04-19
  7. NEP-DEV: Development (1) 2002-06-13
  8. NEP-DGE: Dynamic General Equilibrium (1) 2001-07-30
  9. NEP-FMK: Financial Markets (1) 2015-07-11
  10. NEP-LAM: Central and South America (1) 2002-06-13
  11. NEP-MAC: Macroeconomics (1) 2008-06-13
  12. NEP-MON: Monetary Economics (1) 2006-05-27
  13. NEP-SEA: South East Asia (1) 2008-10-28

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