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Prof Andrew Harvey

Corpus Christi College, University of Cambridge


Prof Andrew Harvey is Professor of Econometrics in the Faculty of Economics and Politics, University of Cambridge. He previously held the position of Professor of Econometrics at the London School of Economics.


He is a Fellow of the Econometric Society and a Fellow of the British Academy (FBA). Harvey is author of two textbooks, The Econometric Analysis of Time Series and Time Series Models, and two research monographs, Forecasting, Structural Time Series Models and the Kalman Filter and Dynamic Models for Volatility and Heavy Tails.

His research interests include time series and econometrics; macroeconometrics and financial econometrics; state space models; signal extraction; volatility; quantiles and copulas.He is particularly well-known for his work on the Kalman Filter.

Learn with Andrew Harvey

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Term 1: Elective

This course will show how time series can be modelled and analysed. Theaim is to provide understanding and insight into the methods used, as well as explaining the technical details

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Analysing data

Term 2: Elective

The purpose of this course is to provide students with an introduction to automatic model selection and its limitations and uses in practical econometric modelling. 

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Term 3: Elective

The course aims to develop students' econometric skills and provide practical guidance on how to forecast.


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