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Andrew Harvey
Professor of Econometrics
Fellow of Corpus Christi College

Room: 28
Tel: 44-(0) 1223 335228
+44 1223 339996 (College)
Email: andrew.harvey@econ.cam.ac.uk
Interests:Time series and econometrics; macroecometrics and financial econometrics; state space models; signal extraction; volatility; quantiles and copulas.
Office Hours:Tuesday 11.30-12.30
Appointments outside this hour can be made by email

Teaching

M.Phil., S310: Econometrics II
Further Time Series        
Course Outline        
         
Lecture Notes:
Lecture 1
Lecture 2
Lecture 3
Lecture 4
Lecture 5
 
Exercises:
Exercise 1 | Solutions
Exercise 2 | Solutions
Exercise 3
 
Past Exams:
2006
2007
 
Reading:
Signal Extraction
Forecasting with Unobserved Components Time Series Models