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Andrew C. Harvey

Global rank #1619 98%

Institution: University of Cambridge

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.econ.cam.ac.uk/faculty/harvey/

First Publication: 1974

Most Recent: 2024

RePEc ID: pha279 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 2.01 1.01 0.00 5.03
Last 10 Years 0.00 3.02 1.01 0.00 7.04
All Time 0.67 13.41 17.26 0.00 47.76

Publication Statistics

Raw Publications 35
Coauthorship-Adjusted Count 33.49

Publications (35)

Year Article Journal Tier Authors
2024 Modelling circular time series Journal of Econometrics A 4
2023 Time-Varying Parameters in Econometrics: The editor’s foreword Journal of Econometrics A 4
2023 Score-driven models for realized volatility Journal of Econometrics A 2
2021 Cointegration and control: Assessing the impact of events using time series data Journal of Applied Econometrics B 2
2020 Modeling time series when some observations are zero Journal of Econometrics A 2
2014 Filtering With Heavy Tails Journal of the American Statistical Association B 2
2012 Kernel density estimation for time series data International Journal of Forecasting B 2
2009 Computing the mean square error of unobserved components extracted by misspecified time series models Journal of Economic Dynamics and Control B 2
2009 Quantiles, expectiles and splines Journal of Econometrics A 2
2008 TESTING FOR TREND Econometric Theory B 2
2007 Inflation Convergence and Divergence within the European Monetary Union International Journal of Central Banking B 4
2007 Trends and cycles in economic time series: A Bayesian approach Journal of Econometrics A 3
2006 Convergence of Prices and Rates of Inflation* Oxford Bulletin of Economics and Statistics B 3
2005 Growth, cycles and convergence in US regional time series International Journal of Forecasting B 2
2005 Convergence in the trends and cycles of Euro‐zone income Journal of Applied Econometrics B 2
2003 Computing observation weights for signal extraction and filtering Journal of Economic Dynamics and Control B 2
2003 Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages Review of Economics and Statistics A 2
2003 General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series Review of Economics and Statistics A 2
2000 TESTS OF COMMON STOCHASTIC TRENDS Econometric Theory B 2
2000 A Beveridge-Nelson smoother Economics Letters C 2
1998 Testing for a slowly changing level with special reference to stochastic volatility Journal of Econometrics A 2
1994 Review of '4thought' International Journal of Forecasting B 2
1994 Multivariate Stochastic Variance Models Review of Economic Studies S 3
1993 Estimation of simultaneous equation models with stochastic trend components Journal of Economic Dynamics and Control B 2
1992 Unobserved component time series models with Arch disturbances Journal of Econometrics A 3
1990 Structural time series models in inventory control International Journal of Forecasting B 2
1989 Estimating integrated higher-order continuous time autoregressions with an application to money-income causality Journal of Econometrics A 2
1988 Continuous time autoregressive models with common stochastic trends Journal of Economic Dynamics and Control B 2
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 press) International Journal of Forecasting B 1
1985 The Estimation of Higher-Order Continuous Time Autoregressive Models Econometric Theory B 2
1984 A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models Economics Letters C 2
1981 Testing for heteroscedasticity in simultaneous equation models Journal of Econometrics A 2
1981 Testing for serial correlation in simultaneous equation models : Some further results Journal of Econometrics A 2
1977 Testing for functional misspecification in regression analysis Journal of Econometrics A 2
1974 A comparison of the power of some tests for heteroskedasticity in the general linear model Journal of Econometrics A 2