Andrew C. Harvey
Names
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Andrew |
| middle: |
C. |
| last: |
Harvey |
Identifer
Contact
Affiliations
-
University of Cambridge
/ Faculty of Economics
Research profile
author of:
- Forecasting and Interpolation Using Vector Autoregressions with Common Trends (RePEc:adr:anecst:y:1987:i:6-7:p:279-287)
by F. Javier Fernandez Macho & Andrew C. Harvey & James H. Stock - Convergences of prices and rates of inflation (RePEc:bdi:wptemi:td_575_06)
by Fabio Busetti & Silvia Fabiani & Andrew Harvey - Testing for trend (RePEc:bdi:wptemi:td_614_07)
by Fabio Busetti & Andrew Harvey - Time series models with an EGB2 conditional distribution (RePEc:bdi:wptemi:td_947_14)
by Michele Caivano & Andrew Harvey - Two EGARCH models and one fat tail (RePEc:bdi:wptemi:td_954_14)
by Michele Caivano & Andrew Harvey - Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study (RePEc:bes:jnlbes:v:1:y:1983:i:4:p:299-307)
by Harvey, A C & Todd, P H J - Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response (RePEc:bes:jnlbes:v:1:y:1983:i:4:p:313-15)
by Harvey, A C & Todd, P H J - Diagnostic Checking of Unobserved-Components Time Series Models (RePEc:bes:jnlbes:v:10:y:1992:i:4:p:377-89)
by Harvey, Andrew C & Koopman, Siem Jan - Bayesian Analysis of Stochastic Volatility Models: Comment (RePEc:bes:jnlbes:v:12:y:1994:i:4:p:402-03)
by Harvey, Andrew C & Ruiz, Esther - Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns (RePEc:bes:jnlbes:v:14:y:1996:i:4:p:429-34)
by Harvey, Andrew C & Shephard, Neil - The Modeling and Seasonal Adjustment of Weekly Observations (RePEc:bes:jnlbes:v:15:y:1997:i:3:p:354-68)
by Harvey, Andrew & Koopman, Siem Jan & Riani, Marco - Seasonality Tests (RePEc:bes:jnlbes:v:21:y:2003:i:3:p:420-36)
by Busetti, Fabio & Harvey, Andrew - A Note on Common Cycles, Common Trends, and Convergence (RePEc:bes:jnlbes:v:25:y:2007:p:12-20)
by Carvalho, Vasco & Harvey, Andrew & Trimbur, Thomas - Trends and Cycles in Macroeconomic Time Series (RePEc:bes:jnlbes:v:3:y:1985:i:3:p:216-27)
by Harvey, A C - Time Series Models for Count or Qualitative Observations (RePEc:bes:jnlbes:v:7:y:1989:i:4:p:407-17)
by Harvey, Andrew C & Fernandes, C - Time Series Models for Count or Qualitative Observations: Reply (RePEc:bes:jnlbes:v:7:y:1989:i:4:p:422)
by Harvey, Andrew C & Fernandes, C - Seemingly Unrelated Time Series Equations and a Test for Homogeneity (RePEc:bes:jnlbes:v:8:y:1990:i:1:p:71-81)
by Fernandez, F Javier & Harvey, Andrew C - Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations (RePEc:bla:buecrs:v:34:y:1982:i:2:p:79-91)
by Harvey, Andrew C & Phillips, Garry D A - Estimating the underlying change in unemployment in the UK (RePEc:bla:jorssa:v:163:y:2000:i:3:p:303-309)
by Andrew Harvey & Chia‐Hui Chung - Some Comments on Multicollinearity in Regression (RePEc:bla:jorssc:v:26:y:1977:i:2:p:188-191)
by A. C. Harvey - An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering (RePEc:bla:jorssc:v:29:y:1980:i:3:p:311-322)
by G. Gardner & A. C. Harvey & G. D. A. Phillips - Finite Sample Prediction from Arima Processes (RePEc:bla:jorssc:v:31:y:1982:i:2:p:180-187)
by A. C. Harvey & C. R. McKenzie - On The Probability Of Estimating A Deterministic Component In The Local Level Model (RePEc:bla:jtsera:v:11:y:1990:i:4:p:339-347)
by N. G. Shephard & A. C. Harvey - Tests for Deterministic Versus Indeterministic Cycles (RePEc:bla:jtsera:v:19:y:1998:i:5:p:505-529)
by Andrew Harvey & Mariane Streibel - Finite Sample Prediction And Overdifferencing (RePEc:bla:jtsera:v:2:y:1981:i:4:p:221-232)
by A. C. Harvey - Testing for the Presence of a Random Walk in Series with Structural Breaks (RePEc:bla:jtsera:v:22:y:2001:i:2:p:127-150)
by Fabio Busetti & Andrew Harvey - Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points (RePEc:bla:jtsera:v:24:y:2003:i:2:p:137-140)
by Fabio Busetti & Andrew Harvey - Tests of strict stationarity based on quantile indicators (RePEc:bla:jtsera:v:31:y:2010:i:6:p:435-450)
by Fabio Busetti & Andrew Harvey - Time-series models with an EGB2 conditional distribution (RePEc:bla:jtsera:v:35:y:2014:i:6:p:558-571)
by Michele Caivano & Andrew Harvey - Volatility Modeling with a Generalized t Distribution (RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190)
by Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange - Modeling the Interactions between Volatility and Returns using EGARCH‐M (RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919)
by Andrew Harvey & Rutger‐Jan Lange - Regime switching models for circular and linear time series (RePEc:bla:jtsera:v:44:y:2023:i:4:p:374-392)
by Andrew Harvey & Dario Palumbo - Efficient Estimation Of Nonstationary Time Series Regression (RePEc:bla:jtsera:v:9:y:1988:i:3:p:201-214)
by A. C. Harvey & P. M. Robinson - Convergence of Prices and Rates of Inflation (RePEc:bla:obuest:v:68:y:2006:i:s1:p:863-877)
by Fabio Busetti & Silvia Fabiani & Andrew Harvey - General Model-based Filters for Extracting Cycles and Trends in Economic Time Series (RePEc:cam:camdae:0113)
by Harvey, A.C. & Trimbur, T.M. - Models for Converging Economies (RePEc:cam:camdae:0216)
by Harvey, A. & Vasco Carvalho - Growth, Cycles and Convergence in US Regional Time Series (RePEc:cam:camdae:0221)
by Vasco M.Carvalho & Andrew C.Harvey - Testing for Drift in a Time Series (RePEc:cam:camdae:0237)
by Busettti, F. & Harvey, A. - Multivariate Unit Root Tests and Testing for Convergence (RePEc:cam:camdae:0301)
by Harvey, A. & Bates, D. - Cyclical Components in Economic Time Series: a Bayesian Approach (RePEc:cam:camdae:0302)
by Harvey, A. & TTrimbur, T. & van Dijk, H. - Time-Varying Quantiles (RePEc:cam:camdae:0649)
by DeRossi, G. & Harvey, A. - Tests of time-invariance (RePEc:cam:camdae:0657)
by Busettti, F. & Harvey, A. - Quantiles, Expectiles and Splines (RePEc:cam:camdae:0660)
by DeRossi, G. & Harvey, A. - Tests of time-invariance (RePEc:cam:camdae:0701)
by Busettti, F. & Harvey, A. - Quantiles, Expectiles and Splines (RePEc:cam:camdae:0702)
by DeRossi, G. & Harvey, A. - Modeling the Phillips curve with unobserved components (RePEc:cam:camdae:0805)
by Harvey, A. - Dynamic distributions and changing copulas (RePEc:cam:camdae:0839)
by Harvey, A. - Beta-t-(E)GARCH (RePEc:cam:camdae:0840)
by Harvey, A. & Chakravarty, T. - When is a copula constant? A test for changing relationships (RePEc:cam:camdae:0841)
by Busetti, F. & Harvey, A. - Exponential Conditional Volatility Models (RePEc:cam:camdae:1040)
by Harvey, A. - EGARCH models with fat tails, skewness and leverage (RePEc:cam:camdae:1236)
by Harvey, A. & Sucarrat, G. - The Dyanamic Location/Scale Model: with applications to intra-day financial data (RePEc:cam:camdae:1240)
by Andres, P. & Harvey, A. - Filtering with heavy tails (RePEc:cam:camdae:1255)
by Harvey, A. & Luati, A. - Time series models with an EGB2 conditional distribution (RePEc:cam:camdae:1325)
by M. Caivano & A. Harvey - Two EGARCH models and one fat tail (RePEc:cam:camdae:1326)
by M. Caivano & A. Harvey - Testing against Changing Correlation (RePEc:cam:camdae:1439)
by Andrew Harvey & Stephen Thiele - Volatility Modeling with a Generalized t-distribution (RePEc:cam:camdae:1517)
by Andrew Harvey & Rutger-Jan Lange - Modeling the Interactions between Volatility and Returns (RePEc:cam:camdae:1518)
by Andrew Harvey & Rutger-Jan Lange - Co-integration and control: assessing the impact of events using time series data (RePEc:cam:camdae:1731)
by Harvey, A. & Thiele, S. - Dynamic Tobit models (RePEc:cam:camdae:1913)
by Harvey, A. & Liao, Y. - Score-Driven Models for Realized Volatility (RePEc:cam:camdae:1950)
by Harvey, A. & Palumbo, D. - Modeling directional (circular) time series (RePEc:cam:camdae:1971)
by Harvey, A. & Hurn, S. & Thiele, S. - Time series modeling of epidemics: leading indicators, control groups and policy assessment (RePEc:cam:camdae:2114)
by Harvey, A. C. - Regime switching models for directional and linear observations (RePEc:cam:camdae:2123)
by Harvey, A. & Palumbo, D. - Score-driven time series models (RePEc:cam:camdae:2133)
by Harvey, A. - Forecasting epidemic trajectories: Time Series Growth Curves package tsgc (RePEc:cam:camdae:2407)
by Ashby, M. & Harvey, A. & Kattuman, P. & Thamotheram, C. - Hidden Threshold Models with applications to asymmetric cycles (RePEc:cam:camdae:2448)
by Harvey, A. & Simons, J. - Tests of Common Stochastic Trends (RePEc:cam:camdae:9902)
by Nyblom, Jukka & Harvey, Andrew - Seasonality in Dynamic Regression Models (RePEc:cep:cepdps:dp0184)
by Andrew C Harvey & Andrew Scott - Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) (RePEc:cep:stiecm:230)
by Andrew C Harvey & Albert Jaeger - Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) (RePEc:cep:stiecm:266)
by Andrew C Harvey & Andrew Scott - Estimation and Testing of Stochastic Variance Models (RePEc:cep:stiecm:268)
by Andrew C Harvey & N.G. Shephard - The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.) (RePEc:cep:stiecm:284)
by Andrew C Harvey & Siem Jan Koopman & Marco Riani - Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.) (RePEc:cep:stiecm:306)
by Andrew C Harvey & Mariane Streibel - 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 (RePEc:cep:stiecm:307)
by Andrew C Harvey & Siem Jan Koopman - Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) (RePEc:cep:stiecm:327)
by Andrew C Harvey & Siem Jan Koopman & J Penzer - 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.) (RePEc:cep:stiecm:365)
by Fabio Busetti & Andrew C Harvey - Trends, Cycles, and Convergence (RePEc:chb:bcchsb:v06c08pp221-250)
by Andrew C. Harvey - Trends, Cycles and Convergence (RePEc:chb:bcchwp:155)
by Andrew Harvey - Stochastic Volatility (RePEc:cir:cirwor:95s-49)
by Eric Ghysels & Andrew Harvey & Eric Renault - Stochastic Volatility (RePEc:cor:louvco:1995069)
by GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric - Convergence and Cycles in the Euro Zone (RePEc:cpr:ceprdp:4726)
by Harvey, Andrew & Carvalho, Vasco - Exponential conditional volatility models (RePEc:cte:wsrepe:ws103620)
by Harvey, Andrew - Forecasting, Structural Time Series Models and the Kalman Filter (RePEc:cup:cbooks:9780521321969)
by Harvey,Andrew C. - Forecasting, Structural Time Series Models and the Kalman Filter (RePEc:cup:cbooks:9780521405737)
by Harvey,Andrew C. - State Space and Unobserved Component Models (RePEc:cup:cbooks:9780521835954)
by None - Dynamic Models for Volatility and Heavy Tails (RePEc:cup:cbooks:9781107034723)
by Harvey,Andrew C. - State Space and Unobserved Component Models (RePEc:cup:cbooks:9781107407435)
by None - Dynamic Models for Volatility and Heavy Tails (RePEc:cup:cbooks:9781107630024)
by Harvey,Andrew C. - The Estimation of Higher-Order Continuous Time Autoregressive Models (RePEc:cup:etheor:v:1:y:1985:i:01:p:97-117_01)
by Harvey, A. C. & Stock, James H. - Tests Of Common Stochastic Trends (RePEc:cup:etheor:v:16:y:2000:i:02:p:176-199_16)
by Nyblom, Jukka & Harvey, Andrew - Testing For Trend (RePEc:cup:etheor:v:24:y:2008:i:01:p:72-87_08)
by Busetti, Fabio & Harvey, Andrew - Tracking The Mutant: Forecasting And Nowcasting Covid-19 In The Uk In 2021 (RePEc:cup:nierev:v:256:y:2021:i::p:110-126_6)
by Harvey, Andrew & Kattuman, Paul & Thamotheram, Craig - Time Series Modelling Of Epidemics: Leading Indicators, Control Groups And Policy Assessment (RePEc:cup:nierev:v:257:y:2021:i::p:83-100_6)
by Harvey, Andrew - Inflation convergence and divergence within the European Monetary Union (RePEc:ecb:ecbwps:2006574)
by Busetti, Fabio & Forni, Lorenzo & Harvey, Andrew & Venditti, Fabrizio - Seasonality in Dynamic Regression Models (RePEc:ecj:econjl:v:104:y:1994:i:427:p:1324-45)
by Harvey, Andrew & Scott, Andrew - Trends, Cycles and Autoregressions (RePEc:ecj:econjl:v:107:y:1997:i:440:p:192-201)
by Harvey, Andrew - Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations (RePEc:ecj:econjl:v:96:y:1986:i:384:p:975-85)
by Harvey, A C, et al - Cyclical components in economic time series: A Bayesian approach (RePEc:ecm:ausm04:105)
by Herman K. van Dijk & Andrew Harvey & Thomas Trimbur - Trend estimation, signal-noise ratios and the frequency of observations (RePEc:ecm:ausm04:343)
by Andrew Harvey - Estimating Regression Models with Multiplicative Heteroscedasticity (RePEc:ecm:emetrp:v:44:y:1976:i:3:p:461-65)
by Harvey, A C - Testing for Serial Correlation in Simultaneous Equation Models (RePEc:ecm:emetrp:v:48:y:1980:i:3:p:747-59)
by Harvey, A C & Phillips, G D A - Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages (RePEc:ecm:wc2000:0861)
by Jared Bernstein & Andrew Harvey - Computing Observation Weights for Signal Extraction and Filtering (RePEc:ecm:wc2000:0888)
by A. C. Harvey & Siem Jan Koopman - Signal extraction and the formulation of unobserved components models (RePEc:ect:emjrnl:v:3:y:2000:i:1:p:84-107)
by Andrew Harvey & Siem Jan Koopman - EGARCH models with fat tails, skewness and leverage (RePEc:eee:csdana:v:76:y:2014:i:c:p:320-338)
by Harvey, Andrew & Sucarrat, Genaro - Continuous time autoregressive models with common stochastic trends (RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:365-384)
by Harvey, A. C. & Stock, James H. - Estimation of simultaneous equation models with stochastic trend components (RePEc:eee:dyncon:v:17:y:1993:i:1-2:p:263-287)
by Streibel, Mariane & Harvey, Andrew - Computing observation weights for signal extraction and filtering (RePEc:eee:dyncon:v:27:y:2003:i:7:p:1317-1333)
by Koopman, Siem Jan & Harvey, Andrew - Computing the mean square error of unobserved components extracted by misspecified time series models (RePEc:eee:dyncon:v:33:y:2009:i:2:p:283-295)
by Harvey, Andrew C. & Delle Monache, Davide - Forecasting with Unobserved Components Time Series Models (RePEc:eee:ecofch:1-07)
by Harvey, Andrew - A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models (RePEc:eee:ecolet:v:15:y:1984:i:3-4:p:301-307)
by Phillips, G. D. A. & Harvey, A. C. - A Beveridge-Nelson smoother (RePEc:eee:ecolet:v:67:y:2000:i:2:p:139-146)
by Proietti, Tommaso & Harvey, Andrew - Trends and cycles in economic time series: A Bayesian approach (RePEc:eee:econom:v:140:y:2007:i:2:p:618-649)
by Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K. - Testing for heteroscedasticity in simultaneous equation models (RePEc:eee:econom:v:15:y:1981:i:3:p:311-340)
by Harvey, A. C. & Phillips, G. D. A. - Quantiles, expectiles and splines (RePEc:eee:econom:v:152:y:2009:i:2:p:179-185)
by De Rossi, Giuliano & Harvey, Andrew - Testing for serial correlation in simultaneous equation models : Some further results (RePEc:eee:econom:v:17:y:1981:i:1:p:99-105)
by Harvey, A. C. & Phillips, G. D. A. - A comparison of the power of some tests for heteroskedasticity in the general linear model (RePEc:eee:econom:v:2:y:1974:i:4:p:307-316)
by Harvey, A. C. & Phillips, G. D. A. - Modeling time series when some observations are zero (RePEc:eee:econom:v:214:y:2020:i:1:p:33-45)
by Harvey, Andrew & Ito, Ryoko - Time-Varying Parameters in Econometrics: The editor’s foreword (RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001173)
by Blasques, F. & Harvey, A.C. & Koopman, S.J. & Lucas, A. - Score-driven models for realized volatility (RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422)
by Harvey, Andrew & Palumbo, Dario - Modelling circular time series (RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446)
by Harvey, Andrew & Hurn, Stan & Palumbo, Dario & Thiele, Stephen - Estimating integrated higher-order continuous time autoregressions with an application to money-income causality (RePEc:eee:econom:v:42:y:1989:i:3:p:319-336)
by Harvey, A. C. & Stock, James H. - Unobserved component time series models with Arch disturbances (RePEc:eee:econom:v:52:y:1992:i:1-2:p:129-157)
by Harvey, Andrew & Ruiz, Esther & Sentana, Enrique - Testing for functional misspecification in regression analysis (RePEc:eee:econom:v:6:y:1977:i:1:p:103-119)
by Harvey, Andrew C. & Collier, Patrick - Testing for a slowly changing level with special reference to stochastic volatility (RePEc:eee:econom:v:87:y:1998:i:1:p:167-189)
by Harvey, Andrew & Streibel, Mariane - Tracking a changing copula (RePEc:eee:empfin:v:17:y:2010:i:3:p:485-500)
by Harvey, Andrew - Testing against changing correlation (RePEc:eee:empfin:v:38:y:2016:i:pb:p:575-589)
by Harvey, Andrew & Thiele, Stephen - Review of '4thought' (RePEc:eee:intfor:v:10:y:1994:i:1:p:35-41)
by Harvey, Andrew & Toulson, Sabine - 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 (RePEc:eee:intfor:v:2:y:1986:i:4:p:496-497)
by Harvey, A. C. - Growth, cycles and convergence in US regional time series (RePEc:eee:intfor:v:21:y:2005:i:4:p:667-686)
by Carvalho, Vasco M. & Harvey, Andrew C. - Kernel density estimation for time series data (RePEc:eee:intfor:v:28:y:2012:i:1:p:3-14)
by Harvey, Andrew & Oryshchenko, Vitaliy - Structural time series models in inventory control (RePEc:eee:intfor:v:6:y:1990:i:2:p:187-198)
by Harvey, Andrew & Snyder, Ralph D. - Testing for the presence of a random walk in series with structural breaks (RePEc:ehl:lserod:6870)
by Busetti, Fabio & Harvey, Andrew - Time Series (RePEc:elg:eebook:599)
by None - Messy Time Series (RePEc:eme:aecozz:s0731-9053(1999)0000013007)
by Andrew Harvey & Siem Jan Koopman & Jeremy Penzer - Bayes estimates of the cyclical component in twentieth centruy US gross domestic product (RePEc:ems:eureir:1798)
by Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K. - Cyclical components in economic time series (RePEc:ems:eureir:540)
by Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K. - Trends and cycles in economic time series: A Bayesian approach (RePEc:ems:eureir:6913)
by Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K. - Stochastic Volatility (RePEc:fth:gremaq:95.400)
by Ghysels, E. & Harvey, A. & Renault, E. - A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors (RePEc:ier:iecrev:v:17:y:1976:i:2:p:506-09)
by Harvey, A C - Linear Regression in the Frequency Domain (RePEc:ier:iecrev:v:19:y:1978:i:2:p:507-12)
by Harvey, Andrew C - On Comparing Regression Models in Levels and First Differences (RePEc:ier:iecrev:v:21:y:1980:i:3:p:707-20)
by Harvey, A C - Inflation Convergence and Divergence within the European Monetary Union (RePEc:ijc:ijcjou:y:2007:q:2:a:4)
by Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti - Analysis and Generalisation of a Multivariate Exponential Smoothing Model (RePEc:inm:ormnsc:v:32:y:1986:i:3:p:374-380)
by A. C. Harvey - Trend, Seasonality and Seasonal Adjustment (RePEc:ipe:ipetds:0019)
by A. C. Harvey & Pedro L. Valls Pereira - Testing against smooth stochastic trends (RePEc:jae:japmet:v:16:y:2001:i:3:p:415-429)
by Jukka Nyblom & Andrew Harvey - Convergence in the trends and cycles of Euro-zone income (RePEc:jae:japmet:v:20:y:2005:i:2:p:275-289)
by Andrew C. Harvey & Vasco M. Carvalho - Detrending, Stylized Facts and the Business Cycle (RePEc:jae:japmet:v:8:y:1993:i:3:p:231-47)
by Harvey, A C & Jaeger, A - Testing in Unobserved Components Models (RePEc:jof:jforec:v:20:y:2001:i:1:p:1-19)
by Harvey, Andrew - The local quadratic trend model (RePEc:jof:jforec:v:29:y:2010:i:1-2:p:94-108)
by Andrew Harvey - Stochastic Volatility (RePEc:mtl:montde:9613)
by Ghysels, E. & Harvey, A. & Renault, E. - Stochastic Volatility (RePEc:mtl:montec:9613)
by Ghysels, E. & Harvey, A. & Renault, E. - The Econometric Analysis of Time Series, 2nd Edition (RePEc:mtp:titles:026208189x)
by Andrew C. Harvey - Discrimination Between CES and VES Production Functions (RePEc:nbr:nberch:10530)
by A. C. Harvey - Time series models for epidemics: leading indicators, control groups and policy assessment (RePEc:nsr:niesrd:517)
by Andrew C. Harvey - Modeling time series with zero observations (RePEc:nuf:econwp:1701)
by Andrew Harvey & Ryoko Ito - When is a Copula Constant? A Test for Changing Relationships (RePEc:oup:jfinec:v:9:y:2011:i:1:p:106-131)
by Fabio Busetti & Andrew Harvey - Multivariate Stochastic Variance Models (RePEc:oup:restud:v:61:y:1994:i:2:p:247-264.)
by Andrew Harvey & Esther Ruiz & Neil Shephard - Readings in Unobserved Components Models (RePEc:oxp:obooks:9780199278695)
by None - James Durbin (1923–2012) (RePEc:pal:palchp:978-1-137-58274-4_25)
by Andrew Harvey & David Bartholomew - The estimation of dynamic models with missing observations (RePEc:sbe:breart:v:5:y:1985:i:2:a:3126)
by Harvey, A. C. & Pereira, Pedro Luiz Valls - Robust time series models with trend and seasonal components (RePEc:spr:series:v:7:y:2016:i:1:d:10.1007_s13209-015-0134-1)
by Michele Caivano & Andrew Harvey & Alessandra Luati - Unknown item RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:7-17 (article)
- Filtering With Heavy Tails (RePEc:taf:jnlasa:v:109:y:2014:i:507:p:1112-1122)
by Andrew Harvey & Alessandra Luati - Signal Extraction and the Formulation of Unobserved Components Models (RePEc:tiu:tiucen:44688527-92c9-4c46-ac53-ff2013015d7f)
by Harvey, A.C. & Koopman, S.J.M. - Signal Extraction and the Formulation of Unobserved Components Models (RePEc:tiu:tiutis:44688527-92c9-4c46-ac53-ff2013015d7f)
by Harvey, A.C. & Koopman, S.J.M. - Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages (RePEc:tpr:restat:v:85:y:2003:i:1:p:141-152)
by Andrew Harvey & Jared Bernstein - General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series (RePEc:tpr:restat:v:85:y:2003:i:2:p:244-255)
by Andrew C. Harvey & Thomas M. Trimbur - Convergence in the trends and cycles of Euro‐zone income (RePEc:wly:japmet:v:20:y:2005:i:2:p:275-289)
by Vasco M. Carvalho & Andrew C. Harvey - Cointegration and control: Assessing the impact of events using time series data (RePEc:wly:japmet:v:36:y:2021:i:1:p:71-85)
by Andrew Harvey & Stephen Thiele