A. Harvey

发表

The Algebra of Econometrics.

A. Harvey, D. Pollock, 1981 .

General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series

A. Harvey, T. Trimbur, 2003, Review of Economics and Statistics.

Multivariate stochastic variance models

N. Shephard, A. Harvey, E. Ruiz, 1994 .

Forecasting, Structural Time Series Models and the Kalman Filter

Andrew Harvey, A. Harvey, 1990 .

Unobserved component time series models with Arch disturbances

A. Harvey, E. Ruiz, Enrique Sentana, 1992 .

Testing against changing correlation

A. Harvey, Stephen Thiele, 2014 .

Estimating Regression Models with Multiplicative Heteroscedasticity

A. Harvey, 1976 .

Analysis and generalisation of a multivariate exponential smoothing model

A. Harvey, 1986 .

The effect of seat belt legislation on British road casualties: a case study in structural time series modelling

A. Harvey, J. Durbin, 1986 .

When is a copula constant? A test for changing relationships

A. Harvey, Fabio Busetti, F. Busetti, 2011 .

Tracking a changing copula

A. Harvey, 2010 .

Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study

A. Harvey, P. Todd, 1983 .

The Econometric Analysis of Time Series.

W. D. Ray, A. Harvey, 1981 .

Time series models

A. Harvey, 1983 .

Long memory in stochastic volatility

A. Harvey, 2007 .

Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

N. Shephard, A. Harvey, 1996 .

A. Harvey, A. Jaeger, 1993 .

Forecasting Hourly Electricity Demand Using Time-Varying Splines

A. Harvey, S. Koopman, S. J. Koopman, 1993 .

Testing for functional misspecification in regression analysis

Andrew Harvey, Patrick Collier, A. Harvey, 1977 .

A Simple Test for Serial Correlation in Regression Analysis

Andrew Harvey, A. Harvey, G. Phillips, 1974 .

On the unbiasedness of robust regression estimators

Andrew Harvey, A. Harvey, 1978 .

A Comparison of Preliminary Estimators for Robust Regression

A. Harvey, 1977 .

Estimation Procedures for Structural Time Series Models

A. Harvey, S. Peters, 1990 .

Kernel density estimation for time series data

A. Harvey, V. Oryshchenko, 2012 .

Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series

A. Harvey, 2013 .

Multivariate structural time series models

A. Harvey, S. Koopman, 1997 .

Modeling the Interactions between Volatility and Returns

A. Harvey, Rutger-Jan Lange, 2015 .

Volatility Modeling with a Generalized t Distribution

A. Harvey, Rutger-Jan Lange, 2017 .

Time Series Models for Count or Qualitative Observations

Andrew Harvey, A. Harvey, C. Fernandes, 1989 .

Time Series Models, 2nd Edn.

Neville Davies, Andrew Harvey, A. Harvey, 1995 .

Tests for cycles

N. Shephard, A. Harvey, S. Koopman, 2004 .

Readings in Unobserved Components Models

Andrew Harvey, A. Harvey, 2005 .

Quantiles, expectiles and splines

Andrew Harvey, Giuliano De Rossi, A. Harvey, 2009 .

Chapter 7 Forecasting with Unobserved Components Time Series Models

Andrew Harvey, A. Harvey, 2006 .

Unobserved Components Models in Economics and Finance THE ROLE OF THE KALMAN FILTER IN TIME SERIES ECONOMETRICS

A. Harvey, S. Koopman, S. J. Koopman, 2010 .

TESTS OF COMMON STOCHASTIC TRENDS

Andrew Harvey, Jukka Nyblom, A. Harvey, 2000, Econometric Theory.

Convergence of Prices and Rates of Inflation

Andrew Harvey, Silvia Fabiani, A. Harvey, 2006 .

Testing for Trend

Andrew Harvey, A. Harvey, Fabio Busetti, 2007 .

FINITE SAMPLE PREDICTION AND OVERDIFFERENCING

Andrew Harvey, A. Harvey, 1981 .

10 Structural time series models

Andrew Harvey, Neil Shephard, N. Shephard, 1993 .

Estimating Missing Observations in Economic Time Series

Andrew Harvey, Richard Pierse, A. Harvey, 1984 .

Signal extraction and the formulation of unobserved components models

Siem Jan Koopman, Andrew Harvey, A. Harvey, 1999 .

A Note on the Efficiency of Kelejian's Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors

A. Harvey, 1976 .

Trends and cycles in economic time series: A Bayesian approach

Herman K. van Dijk, Andrew Harvey, Thomas M. Trimbur, 2005 .

Structural Time Series Models

Siem Jan Koopman, Andrew Harvey, A. Harvey, 2005 .

Beta-t-(E)GARCH

Andrew Harvey, A. Harvey, T. Chakravarty, 2008 .

5 Stochastic volatility

A. Harvey, É. Renault, E. Ghysels, 1996 .

Tests of time-invariance

A. Harvey, Fabio Busetti, F. Busetti, 2007 .

CENTRE FOR ECONOMETRIC ANALYSIS CEA@Cass

Giuliano De Rossi, A. Harvey, 2005 .

Time Series Forecasting Based on the Logistic Curve

Andrew Harvey, A. Harvey, 1984 .

Modeling time series when some observations are zero

A. Harvey, Ryoko Ito, 2020 .

Multivariate Unit Root Tests and Testing for Convergence

A. Harvey, Robert Bates, R. Bates, 2003 .

Convergence and Cycles in the Euro Zone

Vasco M. Carvalho, A. Harvey, 2004 .

Conference on seasonality , seasonal adjustment and their implications for short-term analysis and forecasting Seasonality and unobserved components models : an overview

A. Harvey, 2006 .

Dynamic Tobit models

A. Harvey, Yin Liao, Andew Harvey, 2019, Econometrics and Statistics.

ESTIMATING REGRESSION MODELS WITH

A. Harvey, Multiplicative Heteroscedasticity, 1976 .

Modeling time series with zero observations

A. Harvey, Ryoko Ito, 2017 .

State Space and Unobserved Component Models: Empirical Bayesian inference in a nonparametric regression model

N. Shephard, A. Harvey, S. Koopman, 2004 .

The eect of misspeci…cation in models for extracting trends and cycles

Davide Delle Monache, A. Harvey, 2010 .

Estimation of simultaneous equation models with stochastic trend components

A. Harvey, Mariane Streibel, 1993 .

Trends, Cycles, and Convergence

A. Harvey, 2002 .

Forecasting, structural time series models and the Kalman filter: Selected answers to exercises

Andrew C. Harvey, A. Harvey, 1990 .

Inter-fuel substitution, technical change and the demand for energy in the UK economy

A. Harvey, P. Marshall, 1991 .

Forecasting, Structural Time Series Models and the Kalman Filter.

Andrew Harvey, Denise R. Osborn, A. Harvey, 1991 .

State space models and the Kalman filter

A. Harvey, 1990 .

A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models

A. Harvey, G. Phillips, 1984 .

Forecasting with Unobserved Components Time Series Models

Andrew Harvey, A. Harvey, 2006 .

Cyclical Components in Economic Time Series: a Bayesian Approach

A. Harvey, H. V. Dijk, T. Trimbur, 2004 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

Models for Converging Economies

Vasco M. Carvalho, A. Harvey, 2002 .

Estimation and Testing of Stochastic Variance Models

N. Shephard, A. Harvey, 1993 .

Modeling the Interactions between Volatility and Returns PRELIMINARY DRAFT**

A. Harvey, Rutger-Jan Lange, 2014 .

Forecasting, structural time series models and the Kalman filter: Selected answers to exercises

Andrew Harvey, Andrew Harvey, A. Harvey, 1990 .

Robust time series models with trend and seasonal components

A. Harvey, A. Luati, Michele Caivano, 2016 .

Time‐series models with an EGB2 conditional distribution

A. Harvey, Michele Caivano, 2014 .

Filtering With Heavy Tails

Alessandra Luati, Andrew Harvey, A. Harvey, 2014 .

The Dyanamic Location/Scale Model: with applications to intra-day financial data

A. Harvey, Philipp Andres, 2012 .

The Review of Economic Studies Ltd.

N. Shephard, A. Harvey, E. Ruiz, 2011 .

State space models

Andrew Harvey, A. Harvey, 2010 .

Unobserved components models in economics and finance

A. Harvey, S. Koopman, A. Harvey, 2009, IEEE Control Systems.

Computing the mean square error of unobserved components extracted by misspecified time series models

Andrew Harvey, Davide Delle Monache, A. Harvey, 2009 .

MESSY TIME SERIES: A UNIFIED APPROACH

Siem Jan Koopman, Andrew Harvey, Jeremy Penzer, 2009 .

Local kernel density estimation from time series data (Preliminary and incomplete)

Andrew Harvey, A. Harvey, V. Oryshchenko, 2009 .

TREND ESTIMATION AND THE HODRICK-PRESCOTT FILTER

A. Harvey, T. Trimbur, 2008 .

Time-Varying Quantiles

Giuliano De Rossi, A. Harvey, G. Derossi, 2006 .

Common Cycles, Common Trends and Convergence

Vasco M. Carvalho, A. Harvey, T. Trimbur, 2005 .

Trend estimation, signal-noise ratios and the frequency of observations

Andrew Harvey, A. Harvey, 2004 .

Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages

A. Harvey, J. Bernstein, 2003, Review of Economics and Statistics.

Testing against smooth stochastic trends

A. Harvey, J. Nyblom, 2001 .

Computing Observation Weights for Signal Extraction and Filtering

Siem Jan Koopman, Andrew Harvey, A. Harvey, 2003 .

Estimating the underlying change in unemployment in the UK

Andrew Harvey, A. Harvey, Chia-Hui Chung, 2000 .

Tests for Deterministic Versus Indeterministic Cycles

Andrew Harvey, A. Harvey, Mariane Streibel, 1998 .

The modeling and seasonal adjustment of weekly observations

Siem Jan Koopman, Marco Riani, Andrew Harvey, 1997 .

Trends, Cycles and Autoregressions

Andrew Harvey, A. Harvey, 1997 .

Testing against Nonstationary Unobserved Components

A. Harvey, Mariane Streibel, 1997 .

Intervention analysis with control groups

Andrew Harvey, A. Harvey, 1996 .

Review of '4thought'

Andrew Harvey, Sabine Toulson, A. Harvey, 1994 .

Diagnostic Checking of Unobserved-Components Time Series Models

A. Harvey, S. Koopman, 1992 .

Time series models for multivariate series of count data

A. Harvey, K. Ord, C. Fernandes, 1993 .

Trends and Cycles in Macroeconomic Time Series

Andrew Harvey, A. Harvey, 1985 .

A farewell to R: time-series models for tracking and forecasting epidemics

A. Harvey, P. Kattuman, 2021, Journal of the Royal Society Interface.

Exponential Conditional Volatility Models

Andrew Harvey, A. Harvey, 2010 .

TESTING FOR TREND

A. Harvey, F. Busetti, 2007, Econometric Theory.

Modelling the Phillips curve with unobserved components

A. Harvey, 2011 .

James Durbin (1923–2012)

A. Harvey, D. Bartholomew, 2019, The Palgrave Companion to LSE Economics.

Structural time series models in medicine

A Harvey, S J Koopman, A. Harvey, 1996, Statistical methods in medical research.

Andrew Harvey, A. Harvey, F. J. Fernández, 1990 .

Time series models for insurance claims

Andrew Harvey, C. Fernandes, A. Harvey, 1989 .

The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

A. C. Harvey, J. Durbin, A. Harvey, 1986 .

Assessing and Modeling the Cyclical Behavior of Rainfall in Northeast Brazil

A. C. Harvey, R. C. Souza, A. Harvey, 1987 .

The Estimation of Regression Models with Time-Varying Parameters

Andrew Harvey, A. Harvey, G. Phillips, 1982 .

Maximum likelihood estimation of regression models with autoregressive-moving average disturbances

Andrew Harvey, A. Harvey, G. Phillips, 1979 .

A comparison of the power of some tests for heteroskedasticity in the general linear model

Andrew Harvey, A. Harvey, G. Phillips, 1974 .

Missing Observations in Dynamic Econometric Models: A Partial Synthesis

Andrew Harvey, Colin McKenzie, A. Harvey, 1984 .

EGARCH models with fat tails, skewness and leverage

Genaro Sucarrat, Andrew Harvey, A. Harvey, 2014, Comput. Stat. Data Anal..

An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering

Andrew Harvey, A. Harvey, G. Phillips, 1980 .

Dynamic Models for Volatility and Heavy Tails with applications to nancial time series Chapter 1

A. Harvey, 2012 .

Testing for Structural Change in Simultaneous Equation Models

A. Harvey, G. Phillips, 1989 .

An Alternative Proof and Generalization of a Test for Structural Change

Andrew Harvey, A. Harvey, 1976 .

Inflation Convergence and Divergence within the European Monetary Union

A. Harvey, F. Venditti, L. Forni, 2006 .

The econometric analysis of time series

Andrew Harvey, A. Harvey, 1991 .

Advances in Econometrics: Applications of the Kalman filter in econometrics

A. Harvey, Andrew C. Harvey, 1987 .

The World Bank Latin America and the Caribbean Vice-Presidency Colombia , México , and Venezuela Country Management Unit Washington

Stephen S. Everhart, A. Harvey, Mario A. Cuevas, 2002 .

Spectral Analysis and Time Series, M. B. Priestly. Two volumes, 890 pages plus preface, indexes, references and appendices, London: Academic Press, 1981. Price in the UK: Vol. I, £49‐60: Vol. II, £20‐60

Andrew Harvey, A. Harvey, 1982 .

Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations

A. Harvey, A C Harvey, 1986 .

Multivariate Stoc astic Variance Models

N. Shephard, A. Harvey, E. Ruiz, 2007 .

Modeling the Interactions between Volatility and Returns using EGARCH‐M

A. Harvey, Rutger-Jan Lange, 2018, Journal of Time Series Analysis.

Cambridge Working Papers in Economics Modeling the Interactions between Volatility and Returns

A. Harvey, Rutger-Jan Lange, 2015 .

Convergence in the trends and cycles of Euro‐zone income

Vasco M. Carvalho, A. Harvey, 2005 .

TIME SERIES MODELLING OF EPIDEMICS: LEADING INDICATORS, CONTROL GROUPS AND POLICY ASSESSMENT

Andrew Harvey, A. Harvey, 2021, National Institute Economic Review.

TRACKING THE MUTANT: FORECASTING AND NOWCASTING COVID-19 IN THE UK IN 2021

A. Harvey, P. Kattuman, C. Thamotheram, 2021, National Institute Economic Review.

The Estimation of Higher-Order Continuous Time Autoregressive Models

A. Harvey, J. Stock, 1985, Econometric Theory.

Structural Time Series Analyser, Modeller and Predictor: STAMP 8.2.

Siem Jan Koopman, Jurgen A. Doornik, Andrew Harvey, 2009 .

Economics : 1731 CO-INTEGRATION AND CONTROL : ASSESSING THE IMPACT OF EVENTS USING TIME SERIES DATA

A. Harvey, Stephen Thiele, 2017 .

Convergences of Prices and Rates of Inflation

A. Harvey, Silvia Fabiani, F. Busetti, 2006 .

A Note on Common Cycles, Common Trends, and Convergence

Vasco M. Carvalho, A. Harvey, T. Trimbur, 2007 .

Growth, Cycles and Convergence in US Regional Time Series

Vasco M. Carvalho, A. Harvey, 2005 .

CENTRE FOR ECONOMETRIC ANALYSIS

Vasco M. Carvalho, A. Harvey, T. Trimbur, 2006 .

Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus

A. Harvey, P. Kattuman, 2020 .

Structural Time Series Models

Siem Jan Koopman, Andrew Harvey, A. Harvey, 2005 .

A unified view of statistical forecasting procedures

Andrew Harvey, A. Harvey, 1984 .

Time series models with an EGB 2 conditional distribution

A. Harvey, Michele Caivano, Andrew Harvey, 2013 .

ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL

Andrew Harvey, Neil Shephard, N. Shephard, 1990 .

Time Series Models with an EGB2 Conditional Distribution

A. Harvey, Michele Caivano, 2014 .

Two EGARCH Models and One Fat Tail

A. Harvey, Michele Caivano, 2014 .

Score-Driven Time Series Models

A. Harvey, 2021, Annual Review of Statistics and Its Application.

Analysis of Economic Time Series. A Synthesis.

David M. Grether, Andrew Harvey, Marc Nerlove, 1980 .

Structural time series models in inventory control

Ralph D. Snyder, Andrew Harvey, A. Harvey, 1990 .

The Econometric Analysis of Time Series - 2nd Edition

Andrew Harvey, A. Harvey, 1990 .

Some Comments on Multicollinearity in Regression

Andrew Harvey, A. Harvey, 1977 .

Dynamic Models for Volatility and Heavy Tails

Andrew Harvey, A. Harvey, 2013 .

On Comparing Regression Models in Levels and First Differences

A. Harvey, 1980 .

Dynamic Models for Volatility and Heavy Tails: Scale

A. Harvey, 2013 .

Score-driven models for realized volatility

A. Harvey, Dario Palumbo, 2019, Journal of Econometrics.

Série Scientifique Scientific Series Stochastic Volatility We Benefitted from Helpful Comments from Stochastic Volatility 2. Volatility in Financial Markets 2.1 the Black-scholes Model and Implied Volatilities 2.2 Some Stylized Facts 2.3 Information Sets 2.4 Statistical Modelling of Stochastic Volat

A. Harvey, Polytechnique, Eric Ghysels, 2022 .

Forecasti ng and Interpolation

A. Harvey, J. Stock, 1987 .

MESSY TIME SERIES

Siem Jan Koopman, Andrew Harvey, Jeremy Penzer, 1999 .

Testing for a slowly changing level with special reference to stochastic volatility

A. Harvey, Mariane Streibel, 1996 .

Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations

A. Harvey, G. Phillips, 1982 .

Estimating integrated higher-order continuous time autoregressions with an application to money-income causality

Andrew Harvey, James H. Stock, A. Harvey, 1989 .

Continuous time autoregressive models with common stochastic trends

A. Harvey, J. Stock, 1988 .

Linear Regression in the Frequency Domain

Andrew Harvey, A. Harvey, 1978 .

Forecasting and Interpolation Using Vector Autoregressions with Common Trends

A. Harvey, J. Stock, F. Macho, 1987 .

Testing for serial correlation in simultaneous equation models: Some further results

Andrew Harvey, A. Harvey, G. Phillips, 1981 .

IN A SERIES OF PAPERS Durbin and Watson (5, 6, 7) presented both a bounds test

A. Harvey, G. Phillips, 1980 .