Andrew C. Harvey
Names
first:  Andrew 
middle:  C. 
last:  Harvey 
Contact
homepage:  http://www.econ.cam.ac.uk/faculty/harvey/ 
Affiliations

University of Cambridge
→ Faculty of Economics
 website
 location: Cambridge, United Kingdom
Research profile
author of:

Growth, cycles and convergence in US regional time series
by Carvalho, Vasco M. & Harvey, Andrew C. 
Bayesian Analysis of Stochastic Volatility Models: Comment.
by Harvey, Andrew C. & Ruiz, Esther 
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns.
by Harvey, Andrew C. & Shephard, Neil 
Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations.
by Harvey, Andrew C. & Phillips, Garry D. A. 
Linear Regression in the Frequency Domain.
by Harvey, Andrew C. 
Time Series Models for Count or Qualitative Observations: Reply.
by Harvey, Andrew C. & Fernandes, C. 
Convergence in the trends and cycles of Eurozone income
by Andrew C. Harvey & Vasco M. Carvalho 
Time Series Models for Count or Qualitative Observations.
by Harvey, Andrew C. & Fernandes, C. 
Seemingly Unrelated Time Series Equations and a Test for Homogeneity.
by Fernandez, F. Javier & Harvey, Andrew C. 
General Modelbased Filters for Extracting Cycles and Trends in Economic Time Series
by Harvey, A. C. & Trimbur, T. M. 
Diagnostic Checking of UnobservedComponents Time Series Models.
by Harvey, Andrew C. & Koopman, Siem Jan 
Review of '4thought'
by Harvey, Andrew & Toulson, Sabine 
Estimation of simultaneous equation models with stochastic trend components
by Streibel, Mariane & Harvey, Andrew 
General ModelBased Filters for Extracting Cycles and Trends in Economic Time Series
by Andrew C. Harvey & Thomas M. Trimbur 
A BeveridgeNelson smoother
by Proietti, Tommaso & Harvey, Andrew 
Computing observation weights for signal extraction and filtering
by Koopman, Siem Jan & Harvey, Andrew 
Growth, Cycles and Convergence in US Regional Time Series
by Vasco M. Carvalho & Andrew C. Harvey 
The Modeling and Seasonal Adjustment of Weekly Observations.
by Harvey, Andrew & Koopman, Siem Jan & Riani, Marco 
Seasonality in Dynamic Regression Models.
by Harvey, Andrew & Scott, Andrew 
Testing for a slowly changing level with special reference to stochastic volatility
by Harvey, Andrew & Streibel, Mariane 
Detrending, Stylized Facts and the Business Cycle.
by Harvey, A. C. & Jaeger, A. 
A Note on the Efficiency of Kelejian's Method of Estimating CobbDouglas Type Functions with Multiplicative and Additive Errors.
by Harvey, A. C. 
Forecasting Economic Time Series with Structural and BoxJenkins Models: A Case Study.
by Harvey, A. C. & Todd, P. H. J. 
Trends, Cycles and Autoregressions.
by Harvey, Andrew 
Seasonality Tests.
by Busetti, Fabio & Harvey, Andrew 
Testing in Unobserved Components Models.
by Harvey, Andrew 
Estimating Regression Models with Multiplicative Heteroscedasticity.
by Harvey, A. C. 
Tests of Common Stochastic Trends
by Nyblom, Jukka & Harvey, Andrew 
Structural time series models in inventory control
by Harvey, Andrew & Snyder, Ralph D. 
Unobserved component time series models with Arch disturbances
by Harvey, Andrew & Ruiz, Esther & Sentana, Enrique 
Cyclical components in economic time series: A Bayesian approach
by Herman K. van Dijk & Andrew Harvey & Thomas Trimbur 
Stochastic Trends in Dynamic Regression Models: An Application to the EmploymentOutput Equations.
by Harvey, A. C. & et al 
Models for Converging Economies
by Harvey, A. & Vasco Carvalho 
FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
by Fabio Busetti & Andrew Harvey 
Cyclical Components in Economic Time Series: a Bayesian Approach
by Harvey, A. & TTrimbur, T. & van Dijk, H. 
Forecasting Economic Time Series with Structural and BoxJenkins Models: A Case Study: Response.
by Harvey, A. C. & Todd, P. H. J. 
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages
by Andrew Harvey & Jared Bernstein 
Testing for Serial Correlation in Simultaneous Equation Models.
by Harvey, A. C. & Phillips, G. D. A. 
On Comparing Regression Models in Levels and First Differences.
by Harvey, A. C. 
Multivariate Unit Root Tests and Testing for Convergence
by Harvey, A. & Bates, D. 
Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages
by Jared Bernstein & Andrew Harvey 
Trends and Cycles in Macroeconomic Time Series.
by Harvey, A. C. 
Testing against smooth stochastic trends
by Jukka Nyblom & Andrew Harvey 
Signal extraction and the formulation of unobserved components models
by ANDREW HARVEY & SIEM JAN KOOPMAN 
Computing Observation Weights for Signal Extraction and Filtering
by A. C. Harvey & Siem Jan Koopman 
Stochastic Volatility.
by Ghysels, E. & Harvey, A. & Renault, E. 
Testing for Drift in a Time Series
by Busettti, F. & Harvey, A. 
Trend estimation, signalnoise ratios and the frequency of observations
by Andrew Harvey 
Trends, Cycles and Convergence
by Andrew Harvey 
Stochastic Volatility.
by Ghysels, E. & Harvey, A. & Renault, E. 
Stochastic Volatility
by Eric Ghysels & Andrew Harvey & Eric Renault 
Stochastic Volatility.
by Ghysels, E. & Harvey, A. & Renault, E. 
Convergences of prices and rates of inflation
by Fabio Busetti & Silvia Fabiani & Andrew Harvey 
Testing for functional misspecification in regression analysis
by Harvey, Andrew C. & Collier, Patrick 
Testing for serial correlation in simultaneous equation models : Some further results
by Harvey, A. C. & Phillips, G. D. A. 
A comparison of the power of some tests for heteroskedasticity in the general linear model
by Harvey, A. C. & Phillips, G. D. A. 
Testing for heteroscedasticity in simultaneous equation models
by Harvey, A. C. & Phillips, G. D. A. 
Estimating integrated higherorder continuous time autoregressions with an application to moneyincome causality
by Harvey, A. C. & Stock, James H. 
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)
by Harvey, A. C. 
TimeVarying Quantiles
by DeRossi, G. & Harvey, A. 
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
by Phillips, G. D. A. & Harvey, A. C. 
Continuous time autoregressive models with common stochastic trends
by Harvey, A. C. & Stock, James H. 
Convergence of Prices and Rates of Inflation*
by Fabio Busetti & Silvia Fabiani & Andrew Harvey 
Tests of timeinvariance
by Busettti, F. & Harvey, A. 
Quantiles, Expectiles and Splines
by DeRossi, G. & Harvey, A. 
Testing for trend
by Fabio Busetti & Andrew Harvey 
A Note on Common Cycles, Common Trends, and Convergence
by Carvalho, Vasco & Harvey, Andrew & Trimbur, Thomas 
Quantiles, Expectiles and Splines
by DeRossi, G. & Harvey, A. 
Tests of timeinvariance
by Busettti, F. & Harvey, A. 
Estimating the underlying change in unemployment in the UK
by Andrew Harvey & Chia‐Hui Chung 
Inflation Convergence and Divergence within the European Monetary Union
by Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti 
Trends and cycles in economic time series: A Bayesian approach
by Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K. 
Convergence and Cycles in the Euro Zone
by Carvalho, Vasco M. & Harvey, Andrew 
Forecasting with Unobserved Components Time Series Models
by Harvey, Andrew
edited by 
Modeling the Phillips curve with unobserved components
by Harvey, A. 
Dynamic distributions and changing copulas
by Harvey, A. 
Betat(E)GARCH
by Harvey, A. & Chakravarty, T. 
When is a copula constant? A test for changing relationships
by Busetti, F. & Harvey, A. 
Computing the mean square error of unobserved components extracted by misspecified time series models
by Harvey, Andrew C. & Delle Monache, Davide 
TESTS OF COMMON STOCHASTIC TRENDS
by Nyblom, Jukka & Harvey, Andrew 
TESTING FOR TREND
by Busetti, Fabio & Harvey, Andrew 
The Econometric Analysis of Time Series, 2nd Edition
by Andrew C. Harvey 
Discrimination Between CES and VES Production Functions
by A. C. Harvey
edited by 
Forecasting, Structural Time Series Models and the Kalman Filter
by Harvey, Andrew C. 
Seasonality in Dynamic Regression Models
by Andrew C. Harvey & Andrew Scott 
Forecasting, Structural Time Series Models and the Kalman Filter
by Harvey, Andrew C. 
Quantiles, expectiles and splines
by De Rossi, Giuliano & Harvey, Andrew 
Trends, Cycles, and Convergence
by Andrew C. Harvey
edited by 
The local quadratic trend model
by Andrew Harvey 
Exponential Conditional Volatility Models
by Harvey, A. 
Stochastic Volatility
by GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric 
Tracking a changing copula
by Harvey, Andrew 
Exponential conditional volatility models
by Harvey, Andrew 
When is a Copula Constant? A Test for Changing Relationships
by Fabio Busetti & Andrew Harvey 
The Estimation of HigherOrder Continuous Time Autoregressive Models
by Harvey, A. C. & Stock, James H. 
Tests of strict stationarity based on quantile indicators
by Fabio Busetti & Andrew Harvey 
Modelling the Phillips curve with unobserved components
by Andrew Harvey 
Analysis and Generalisation of a Multivariate Exponential Smoothing Model
by A. C. Harvey 
EGARCH models with fat tails, skewness and leverage
by Harvey, A. & Sucarrat, G. 
The Dyanamic Location/Scale Model: with applications to intraday financial data
by Andres, P. & Harvey, A. 
Time series models with an EGB2 conditional distribution
by M. Caivano & A. Harvey 
Dynamic Models for Volatility and Heavy Tails
by Harvey, Andrew C. 
Filtering with heavy tails
by Harvey, A. & Luati, A. 
Dynamic Models for Volatility and Heavy Tails
by Harvey, Andrew C. 
Two EGARCH models and one fat tail
by M. Caivano & A. Harvey 
Time series models with an EGB2 conditional distribution
by Michele Caivano & Andrew Harvey 
Bayes estimates of the cyclical component in twentieth centruy US gross domestic product
by Harvey, A. C. & Trimbur, T. M. & van Dijk, H. K. 
Cyclical components in economic time series
by Harvey, A. C. & Trimbur, T. M. & van Dijk, H. K. 
Testing for the presence of a random walk in series with structural breaks
by Busetti, Fabio & Harvey, Andrew 
Trends and cycles in economic time series: A Bayesian approach
by Harvey, A. C. & Trimbur, T. M. & van Dijk, H. K. 
EGARCH models with fat tails, skewness and leverage
by Harvey, Andrew & Sucarrat, Genaro 
Two EGARCH models and one fat tail
by Michele Caivano & Andrew Harvey 
Kernel density estimation for time series data
by Harvey, Andrew & Oryshchenko, Vitaliy 
Testing against Changing Correlation
by Andrew Harvey & Stephen Thiele 
Timeseries models with an EGB2 conditional distribution
by Michele Caivano & Andrew Harvey 
Signal Extraction and the Formulation of Unobserved Components Models
by Harvey, A. C. & Koopman, S. J. M. 
Filtering With Heavy Tails
by Andrew Harvey & Alessandra Luati 
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.13241345.)
by Andrew C. Harvey & Andrew Scott 
Modeling the Interactions between Volatility and Returns
by Andrew Harvey & RutgerJan Lange 
Trend, Seasonality and Seasonal Adjustment
by A. C. Harvey & Pedro L. Valls Pereira 
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.269298.)
by Andrew C. Harvey & Siem Jan Koopman 
Testing for the Presence of a Random Walk in Series with Structural Breaks  (Now published in Journal of Time Series Analysis, 22 (2001), pp.127150.)
by Fabio Busetti & Andrew C. Harvey 
Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility  (Now published in 'Journal of Econometrics', 87 (1998), pp.167189.)
by Andrew C. Harvey & Mariane Streibel 
Estimation and Testing of Stochastic Variance Models
by Andrew C. Harvey & N. G. Shephard 
Volatility Modeling with a Generalized tdistribution
by Andrew Harvey & RutgerJan Lange 
The Modelling and Seasonal Adjustment of Weekly Observations  (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354368.)
by Andrew C. Harvey & Siem Jan Koopman & Marco Riani 
Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231247.)
by Andrew C. Harvey & Albert Jaeger 
Messy Time Series: A Unified Approach  (Now published in 'Advances in Econometrics', 13 (1998)pp.103143.)
by Andrew C. Harvey & Siem Jan Koopman & J. Penzer 
Multivariate Stochastic Variance Models
by Andrew Harvey & Esther Ruiz & Neil Shephard 
Testing against changing correlation
by Harvey, Andrew & Thiele, Stephen 
Forecasting and Interpolation Using Vector Autoregressions with Common Trends
by F. Javier Fernandez Macho & Andrew C. Harvey & James H. Stock 
Robust time series models with trend and seasonal components
by Michele Caivano & Andrew Harvey & Alessandra Luati 
The estimation of dynamic models with missing observations
by Harvey, A. C. & Pereira, Pedro Luiz Valls 
Inflation convergence and divergence within the European Monetary Union
by Busetti, Fabio & Forni, Lorenzo & Harvey, Andrew & Venditti, Fabrizio 
Modeling time series with zero observations
by Andrew Harvey & Ryoko Ito 
Modeling directional (circular) time series
by Harvey, A. & Hurn, S. & Thiele, S. 
Dynamic Tobit models
by Harvey, A. & Liao, Y. 
Tests for Deterministic Versus Indeterministic Cycles
by Andrew Harvey & Mariane Streibel 
Testing for the Presence of a Random Walk in Series with Structural Breaks
by Fabio Busetti & Andrew Harvey 
EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
by A. C. Harvey & P. M. Robinson 
Modeling the Interactions between Volatility and Returns using EGARCH‐M
by Andrew Harvey & Rutger‐Jan Lange 
ScoreDriven Models for Realized Volatility
by Harvey, A. & Palumbo, D. 
Some Comments on Multicollinearity in Regression
by A. C. Harvey 
An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering
by G. Gardner & A. C. Harvey & G. D. A. Phillips 
Cointegration and control: assessing the impact of events using time series data
by Harvey, A. & Thiele, S. 
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
by N. G. Shephard & A. C. Harvey 
Finite Sample Prediction from Arima Processes
by A. C. Harvey & C. R. McKenzie 
Volatility Modeling with a Generalized t Distribution
by Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & RutgerJan Lange 
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING
by A. C. Harvey 
Modeling time series when some observations are zero
by Harvey, Andrew & Ito, Ryoko 
Signal Extraction and the Formulation of Unobserved Components Models
by Harvey, A. C. & Koopman, S. J. M. 
Time series models for epidemics: leading indicators, control groups and policy assessment
by Andrew C. Harvey 
Time series modeling of epidemics: leading indicators, control groups and policy assessment
by Harvey, A. C. 
Regime switching models for directional and linear observations
by Harvey, A. & Palumbo, D. 
Scoredriven time series models
by Harvey, A. 
Cointegration and control: Assessing the impact of events using time series data
by Andrew Harvey & Stephen Thiele 
Convergence in the trends and cycles of Euro‐zone income
by Vasco M. Carvalho & Andrew C. Harvey
editor of:

State Space and Unobserved Component Models
edited by Harvey, Andrew & Koopman, Siem Jan & Shephard, Neil 
Readings in Unobserved Components Models
edited by Harvey, Andrew & Proietti, Tommaso 
State Space and Unobserved Component Models
edited by Harvey, Andrew & Koopman, Siem Jan & Shephard, Neil 
TIME SERIES
edited by Andrew Harvey