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Author ID: harvey.andrew-c Recent zbMATH articles by "Harvey, Andrew C."
Published as: Harvey, A. C.; Harvey, Andrew C.; Harvey, Andrew
Documents Indexed: 66 Publications since 1974, including 7 Books
3 Contributions as Editor
Software Indexed: 4 Packages
Co-Authors: 18 Co-Authors with 30 Joint Publications
285 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

58 Publications have been cited 1,002 times in 912 Documents Cited by Year
Multivariate stochastic variance models. Zbl 0805.90026
Harvey, Andrew; Ruiz, Esther; Shephard, Neil
221
1994
Dynamic models for volatility and heavy tails. With applications to financial and economic time series. Zbl 1326.62001
Harvey, Andrew C.
100
2013
Estimating regression models with multiplicative heteroscedasticity. Zbl 0333.62040
Harvey, A. C.
98
1976
Forecasting, structural time series models, and the Kalman filter. Paperback ed. Zbl 0725.62083
Harvey, Andrew C.
93
1990
Time series models. Zbl 0464.62087
Harvey, A. C.
65
1981
The econometric analysis of time series. Zbl 0456.62082
Harvey, A. C.
50
1981
Time series models. 2nd ed. Zbl 0770.62076
Harvey, Andrew C.
41
1993
The econometric analysis of time series. 2nd ed. Zbl 0747.62113
Harvey, A. C.
34
1990
An algorithm for exact maximum likelihood estimation of autoregressive- moving average models by means of Kalman filtering. Zbl 0471.62098
Gardner, G.; Harvey, A. C.; Phillips, G. D. A.
32
1980
Filtering with heavy tails. Zbl 1368.62251
Harvey, Andrew; Luati, Alessandra
30
2014
The effects of seat belt legislation on British road casualties: A case study in structural time series modelling (with discussion). Zbl 0615.62118
Harvey, A. C.; Durbin, J.
28
1986
Maximum likelihood estimation of regression models with autoregressive- moving average disturbances. Zbl 0453.62082
Harvey, A. C.; Phillips, G. D. A.
26
1979
Quantiles, expectiles and splines. Zbl 1431.62153
De Rossi, Giuliano; Harvey, Andrew
24
2009
Testing for the presence of a random walk in series with structural breaks. Zbl 0972.62071
Busetti, Fabio; Harvey, Andrew
23
2001
Tests of common stochastic trends. Zbl 0957.62104
Nyblom, Jukka; Harvey, Andrew
20
2000
EGARCH models with fat tails, skewness and leverage. Zbl 1506.62076
Harvey, Andrew; Sucarrat, Genaro
20
2014
A comparison of the power of some tests for heteroskedasticity in the general linear model. Zbl 0289.62048
Harvey, A. C.; Phillips, G. D. A.
18
1974
Continuous time autoregressive models with common stochastic trends. Zbl 0647.62104
Harvey, A. C.; Stock, James H.
17
1988
Trends and cycles in economic time series: a Bayesian approach. Zbl 1247.91149
Harvey, Andrew C.; Trimbur, Thomas M.; Van Dijk, Herman K.
14
2007
A simple test for serial correlation in regression analysis. Zbl 0296.62058
Phillips, G. D. A.; Harvey, A. C.
13
1974
Computing observation weights for signal extraction and filtering. Zbl 1206.62157
Koopman, Siem Jan; Harvey, Andrew
13
2003
Time-series models with an EGB2 conditional distribution. Zbl 1311.62141
Caivano, Michele; Harvey, Andrew
12
2014
Analysis and generalization of a multivariate exponential smoothing model. Zbl 0591.62077
Harvey, A. C.
12
1986
Signal extraction and the formulation of unobserved components models. Zbl 1018.62076
Harvey, Andrew; Koopman, Siem Jan
12
2000
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality. Zbl 0692.62099
Harvey, A. C.; Stock, James H.
11
1989
The estimation of regression models with time-varying parameters. Zbl 0484.62100
Harvey, A. C.; Phillips, G. D. A.
11
1982
On the probability of estimating a deterministic component in the local level model. Zbl 0702.62082
Shephard, N. G.; Harvey, A. C.
11
1990
Readings in unobserved components models. Zbl 1080.62058
Harvey, Andrew; Proietti, Tommaso
10
2005
Efficient estimation of nonstationary time series regression. Zbl 0681.62074
Harvey, A. C.; Robinson, P. M.
9
1988
Testing for functional misspecification in regression analysis. Zbl 0358.62050
Harvey, Andrew C.; Collier, Patrick
9
1977
Further comments on stationarity tests in series with structural breaks at unknown points. Zbl 1112.62087
Busetti, Fabio; Harvey, Andrew
9
2003
Testing for deterministic trend and seasonal components in time series models. Zbl 0522.62070
Franzini, L.; Harvey, A. C.
8
1983
Tests of strict stationarity based on quantile indicators. Zbl 1226.91084
Busetti, Fabio; Harvey, Andrew
7
2010
Time series models for multivariate series of count data. Zbl 0878.62061
Ord, K.; Fernandes, C.; Harvey, A. C.
7
1993
A comparison of preliminary estimators for robust regression. Zbl 0373.62039
Harvey, A. C.
6
1977
Linear regression in the frequency domain. Zbl 0386.62074
Harvey, A. C.
6
1978
Testing for serial correlation in simultaneous equation models. Zbl 0432.62064
Harvey, A. C.; Phillips, G. D. A.
5
1980
State space and unobserved component models. Theory and applications. Selected papers from the conference, Amsterdam, The Netherlands, August 29 – September 3, 2002. Zbl 1053.62006
5
2004
Unobserved components models in economics and finance: the role of the Kalman filter in time series econometrics. Zbl 1395.91355
Harvey, Andrew; Koopman, Siem Jan
5
2009
A Beveridge-Nelson smoother. Zbl 1137.62369
Proietti, T.; Harvey, A.
4
2000
Time series forecasting based on the logistic curve. Zbl 0544.62097
Harvey, A. C.
3
1984
The Kalman filter and its applications in econometrics and time series analysis. Zbl 0511.62105
Harvey, Andrew C.
3
1981
Modeling time series when some observations are zero. Zbl 1456.62191
Harvey, Andrew; Ito, Ryoko
3
2020
An alternative proof and generalization of a test for structural change. Zbl 0336.62060
Harvey, A. C.
3
1976
Intervention analysis with control groups. Zbl 0899.62115
Harvey, Andrew
3
1996
Tests for deterministic versus indeterministic cycles. Zbl 0913.62082
Harvey, Andrew; Streibel, Mariane
3
1998
Testing for heteroscedasticity in simultaneous equation models. Zbl 0464.62105
Harvey, A. C.; Phillips, G. D. A.
2
1981
On the relative efficiency of various estimators of regression models with moving average disturbances. Zbl 0478.62089
Harvey, A. C.; McAvinchey, I. D.
2
1981
Computing the mean square error of unobserved components extracted by misspecified time series models. Zbl 1167.93403
Harvey, Andrew C.; Delle Monache, Davide
2
2009
On the unbiasedness of robust regression estimators. Zbl 0384.62055
Harvey, A. C.
2
1978
A unified approach to testing for stationarity of unit roots. Zbl 1119.62083
Harvey, Andrew C.
2
2005
Testing for trend. Zbl 1280.62097
Busetti, Fabio; Harvey, Andrew
2
2008
Testing for a slowly changing level with special reference to stochastic volatility. Zbl 0944.62096
Harvey, Andrew; Streibel, Mariane
2
1998
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models. Zbl 1273.62279
Phillips, G. D. A.; Harvey, A. C.
2
1984
Modelling circular time series. Zbl 07813986
Harvey, Andrew; Hurn, Stan; Palumbo, Dario; Thiele, Stephen
1
2024
Tests for cycles. Zbl 05280143
Harvey, Andrew C.
1
2004
Discussion of ‘beyond mean regression’. Zbl 07257462
Harvey, Andrew
1
2013
Improved turbulence modeling of film cooling flow and heat transfer. Zbl 1215.76045
Jones, R.; Acharya, S.; Harvey, A.
1
2005
Modelling circular time series. Zbl 07813986
Harvey, Andrew; Hurn, Stan; Palumbo, Dario; Thiele, Stephen
1
2024
Modeling time series when some observations are zero. Zbl 1456.62191
Harvey, Andrew; Ito, Ryoko
3
2020
Filtering with heavy tails. Zbl 1368.62251
Harvey, Andrew; Luati, Alessandra
30
2014
EGARCH models with fat tails, skewness and leverage. Zbl 1506.62076
Harvey, Andrew; Sucarrat, Genaro
20
2014
Time-series models with an EGB2 conditional distribution. Zbl 1311.62141
Caivano, Michele; Harvey, Andrew
12
2014
Dynamic models for volatility and heavy tails. With applications to financial and economic time series. Zbl 1326.62001
Harvey, Andrew C.
100
2013
Discussion of ‘beyond mean regression’. Zbl 07257462
Harvey, Andrew
1
2013
Tests of strict stationarity based on quantile indicators. Zbl 1226.91084
Busetti, Fabio; Harvey, Andrew
7
2010
Quantiles, expectiles and splines. Zbl 1431.62153
De Rossi, Giuliano; Harvey, Andrew
24
2009
Unobserved components models in economics and finance: the role of the Kalman filter in time series econometrics. Zbl 1395.91355
Harvey, Andrew; Koopman, Siem Jan
5
2009
Computing the mean square error of unobserved components extracted by misspecified time series models. Zbl 1167.93403
Harvey, Andrew C.; Delle Monache, Davide
2
2009
Testing for trend. Zbl 1280.62097
Busetti, Fabio; Harvey, Andrew
2
2008
Trends and cycles in economic time series: a Bayesian approach. Zbl 1247.91149
Harvey, Andrew C.; Trimbur, Thomas M.; Van Dijk, Herman K.
14
2007
Readings in unobserved components models. Zbl 1080.62058
Harvey, Andrew; Proietti, Tommaso
10
2005
A unified approach to testing for stationarity of unit roots. Zbl 1119.62083
Harvey, Andrew C.
2
2005
Improved turbulence modeling of film cooling flow and heat transfer. Zbl 1215.76045
Jones, R.; Acharya, S.; Harvey, A.
1
2005
State space and unobserved component models. Theory and applications. Selected papers from the conference, Amsterdam, The Netherlands, August 29 – September 3, 2002. Zbl 1053.62006
5
2004
Tests for cycles. Zbl 05280143
Harvey, Andrew C.
1
2004
Computing observation weights for signal extraction and filtering. Zbl 1206.62157
Koopman, Siem Jan; Harvey, Andrew
13
2003
Further comments on stationarity tests in series with structural breaks at unknown points. Zbl 1112.62087
Busetti, Fabio; Harvey, Andrew
9
2003
Testing for the presence of a random walk in series with structural breaks. Zbl 0972.62071
Busetti, Fabio; Harvey, Andrew
23
2001
Tests of common stochastic trends. Zbl 0957.62104
Nyblom, Jukka; Harvey, Andrew
20
2000
Signal extraction and the formulation of unobserved components models. Zbl 1018.62076
Harvey, Andrew; Koopman, Siem Jan
12
2000
A Beveridge-Nelson smoother. Zbl 1137.62369
Proietti, T.; Harvey, A.
4
2000
Tests for deterministic versus indeterministic cycles. Zbl 0913.62082
Harvey, Andrew; Streibel, Mariane
3
1998
Testing for a slowly changing level with special reference to stochastic volatility. Zbl 0944.62096
Harvey, Andrew; Streibel, Mariane
2
1998
Intervention analysis with control groups. Zbl 0899.62115
Harvey, Andrew
3
1996
Multivariate stochastic variance models. Zbl 0805.90026
Harvey, Andrew; Ruiz, Esther; Shephard, Neil
221
1994
Time series models. 2nd ed. Zbl 0770.62076
Harvey, Andrew C.
41
1993
Time series models for multivariate series of count data. Zbl 0878.62061
Ord, K.; Fernandes, C.; Harvey, A. C.
7
1993
Forecasting, structural time series models, and the Kalman filter. Paperback ed. Zbl 0725.62083
Harvey, Andrew C.
93
1990
The econometric analysis of time series. 2nd ed. Zbl 0747.62113
Harvey, A. C.
34
1990
On the probability of estimating a deterministic component in the local level model. Zbl 0702.62082
Shephard, N. G.; Harvey, A. C.
11
1990
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality. Zbl 0692.62099
Harvey, A. C.; Stock, James H.
11
1989
Continuous time autoregressive models with common stochastic trends. Zbl 0647.62104
Harvey, A. C.; Stock, James H.
17
1988
Efficient estimation of nonstationary time series regression. Zbl 0681.62074
Harvey, A. C.; Robinson, P. M.
9
1988
The effects of seat belt legislation on British road casualties: A case study in structural time series modelling (with discussion). Zbl 0615.62118
Harvey, A. C.; Durbin, J.
28
1986
Analysis and generalization of a multivariate exponential smoothing model. Zbl 0591.62077
Harvey, A. C.
12
1986
Time series forecasting based on the logistic curve. Zbl 0544.62097
Harvey, A. C.
3
1984
A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models. Zbl 1273.62279
Phillips, G. D. A.; Harvey, A. C.
2
1984
Testing for deterministic trend and seasonal components in time series models. Zbl 0522.62070
Franzini, L.; Harvey, A. C.
8
1983
The estimation of regression models with time-varying parameters. Zbl 0484.62100
Harvey, A. C.; Phillips, G. D. A.
11
1982
Time series models. Zbl 0464.62087
Harvey, A. C.
65
1981
The econometric analysis of time series. Zbl 0456.62082
Harvey, A. C.
50
1981
The Kalman filter and its applications in econometrics and time series analysis. Zbl 0511.62105
Harvey, Andrew C.
3
1981
Testing for heteroscedasticity in simultaneous equation models. Zbl 0464.62105
Harvey, A. C.; Phillips, G. D. A.
2
1981
On the relative efficiency of various estimators of regression models with moving average disturbances. Zbl 0478.62089
Harvey, A. C.; McAvinchey, I. D.
2
1981
An algorithm for exact maximum likelihood estimation of autoregressive- moving average models by means of Kalman filtering. Zbl 0471.62098
Gardner, G.; Harvey, A. C.; Phillips, G. D. A.
32
1980
Testing for serial correlation in simultaneous equation models. Zbl 0432.62064
Harvey, A. C.; Phillips, G. D. A.
5
1980
Maximum likelihood estimation of regression models with autoregressive- moving average disturbances. Zbl 0453.62082
Harvey, A. C.; Phillips, G. D. A.
26
1979
Linear regression in the frequency domain. Zbl 0386.62074
Harvey, A. C.
6
1978
On the unbiasedness of robust regression estimators. Zbl 0384.62055
Harvey, A. C.
2
1978
Testing for functional misspecification in regression analysis. Zbl 0358.62050
Harvey, Andrew C.; Collier, Patrick
9
1977
A comparison of preliminary estimators for robust regression. Zbl 0373.62039
Harvey, A. C.
6
1977
Estimating regression models with multiplicative heteroscedasticity. Zbl 0333.62040
Harvey, A. C.
98
1976
An alternative proof and generalization of a test for structural change. Zbl 0336.62060
Harvey, A. C.
3
1976
A comparison of the power of some tests for heteroskedasticity in the general linear model. Zbl 0289.62048
Harvey, A. C.; Phillips, G. D. A.
18
1974
A simple test for serial correlation in regression analysis. Zbl 0296.62058
Phillips, G. D. A.; Harvey, A. C.
13
1974
all top 5

Cited by 1,459 Authors

19 Koopman, Siem Jan
15 Lucas, André
13 Blasques, Francisco
11 Asai, Manabu
9 Blazsek, Szabolcs
9 Kohn, Robert J.
9 McAleer, Michael
8 Chib, Siddhartha
8 Harvey, Andrew C.
8 Phillips, Garry D. A.
7 Gorgi, Paolo
7 Shephard, Neil
6 Chambers, Marcus J.
6 Escribano, Alvaro
6 Ruiz, Esther
6 Triantafyllopoulos, Kostas
6 Yu, Jun
5 D’Innocenzo, Enzo
5 Hendry, David F.
5 Licht, Adrian
5 McElroy, Tucker S.
5 Pizzinga, Adrian
5 Song, Peter Xue-Kun
5 Tucci, Marco P.
5 Wu, Liucang
4 Delle Monache, Davide
4 Diebold, Francis Xavier
4 Dufour, Jean-Marie
4 Fasen-Hartmann, Vicky
4 Francq, Christian
4 Golosnoy, Vasyl
4 Lee, Youngjo
4 Liesenfeld, Roman
4 Lopes, Hedibert Freitas
4 Luati, Alessandra
4 Ooms, Marius
4 Pitt, Michael K.
4 Ravishanker, Nalini
4 Schaumburg, Julia
4 Shaarawy, Samir Moustafa
4 Tsai, Henghsiu
3 Ali, Sherif S.
3 Ansley, Craig F.
3 Arslan, Olcay
3 Ayala, Astrid
3 Bhar, Ramaprasad
3 Buccheri, Giuseppe
3 Casals, José
3 Catania, Leopoldo
3 Çelik, Reşit
3 Chen, Rong
3 Croux, Christophe
3 Czado, Claudia
3 de Jong, Piet
3 Dellaportas, Petros
3 Engle, Robert Fry
3 Franco, Glaura C.
3 Gerlach, Richard H.
3 Ghysels, Eric
3 Godfrey, Leslie George
3 Grillenzoni, Carlo
3 Guerrero, Victor M.
3 Hafner, Christian Matthias
3 Hong, Yongmiao
3 Hotta, Luiz Koodi
3 Jammalamadaka, Sreenivasa Rao
3 Krämer, Walter
3 Lange, Rutger-Jan
3 Lin, Jinguan
3 Linton, Oliver Bruce
3 Lund, Robert B.
3 Maravall, Agustin
3 McCrorie, J. Roderick
3 Mittnik, Stefan
3 Opschoor, Anne
3 Otranto, Edoardo
3 Penzer, Jeremy
3 Petrella, Ivan
3 Phillips, Peter Charles Bonest
3 Proietti, Tommaso
3 Renault, Eric
3 Schwaab, Bernd
3 Sherris, Michael
3 Skaug, Hans Julius
3 Tanizaki, Hisashi
3 Taylor, A. M. Robert
3 Teräsvirta, Timo
3 Tsay, Ruey S.
3 van Brummelen, Janneke
3 Wang, Joanna J. J.
3 Wei, William W. S.
3 Xu, Dengke
3 Zaffaroni, Paolo
3 Zhang, Zhongzhan
2 Abdullah, Mokhtar B.
2 Adjibolosoo, Senyo B.-S. K.
2 Aknouche, Abdelhakim
2 Almeida, Carlos Alberto Santos
2 Andersen, Torben G.
2 Arteche, Josu
...and 1,359 more Authors
all top 5

Cited in 159 Serials

147 Journal of Econometrics
52 Computational Statistics and Data Analysis
48 Economics Letters
42 Journal of Time Series Analysis
41 Econometric Reviews
35 Journal of Economic Dynamics & Control
30 Communications in Statistics. Simulation and Computation
30 Communications in Statistics. Theory and Methods
25 Journal of Statistical Computation and Simulation
19 Econometric Theory
19 Journal of Business and Economic Statistics
18 Journal of Applied Statistics
16 Quantitative Finance
14 Journal of Statistical Planning and Inference
14 Applied Stochastic Models in Business and Industry
13 Statistics & Probability Letters
13 Studies in Nonlinear Dynamics and Econometrics
10 Statistical Methods and Applications
10 Journal of Forecasting
9 The Canadian Journal of Statistics
8 Journal of the American Statistical Association
8 Mathematics and Computers in Simulation
8 Statistical Modelling
8 The Annals of Applied Statistics
7 European Journal of Operational Research
6 Computational Statistics
6 Statistical Papers
6 Bayesian Analysis
5 Annals of the Institute of Statistical Mathematics
5 Applied Mathematics and Computation
5 International Statistical Review
5 Journal of Multivariate Analysis
5 Insurance Mathematics & Economics
5 The Econometrics Journal
5 Electronic Journal of Statistics
4 Computers & Mathematics with Applications
4 Psychometrika
4 Journal of Computational and Applied Mathematics
4 International Journal of Approximate Reasoning
4 Statistical Inference for Stochastic Processes
4 AStA. Advances in Statistical Analysis
4 Statistics in Medicine
3 Scandinavian Journal of Statistics
3 The Annals of Statistics
3 Biometrics
3 Statistics
3 Annals of Operations Research
3 Open Economies Review
3 Australian & New Zealand Journal of Statistics
3 International Journal of Theoretical and Applied Finance
3 Brazilian Journal of Probability and Statistics
3 North American Actuarial Journal
3 Asia-Pacific Financial Markets
3 Statistical Methodology
3 Journal of Statistical Theory and Practice
3 Journal of the Italian Statistical Society
3 Sankhyā. Series B
3 Statistics and Computing
3 Environmetrics
2 International Journal of Systems Science
2 Metrika
2 Physica A
2 Bulletin of Mathematical Biology
2 Biometrical Journal
2 Kybernetika
2 Revista Colombiana de Estadística
2 Mathematical and Computer Modelling
2 Linear Algebra and its Applications
2 Statistische Hefte
2 Computational Economics
2 Test
2 Applied Mathematics. Series B (English Edition)
2 Applied Mathematical Finance
2 International Transactions in Operational Research
2 Macroeconomic Dynamics
2 Scandinavian Actuarial Journal
2 Journal of Machine Learning Research (JMLR)
2 ASTIN Bulletin
2 Financial Engineering and the Japanese Markets
2 Bulletin of Economic Research
2 Statistics Surveys
2 European Actuarial Journal
2 Journal of Time Series Econometrics
2 SIAM/ASA Journal on Uncertainty Quantification
1 International Journal of Control
1 Journal of Computational Physics
1 Journal of the Franklin Institute
1 Chaos, Solitons and Fractals
1 Automatica
1 British Journal of Mathematical & Statistical Psychology
1 Econometrica
1 International Economic Review
1 Journal of Soviet Mathematics
1 Metron
1 Naval Research Logistics
1 Statistische Hefte. Neue Folge
1 Statistica Neerlandica
1 Trabajos de Estadistica y de Investigacion Operativa
1 Systems & Control Letters
1 Journal of the Japan Statistical Society
...and 59 more Serials

Citations by Year