Zobrazeno 1 - 10
of 63
pro vyhledávání: '"Alain Hecq"'
Publikováno v:
Econometrics, Vol 11, Iss 1, p 9 (2023)
This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal–
Externí odkaz:
https://doaj.org/article/0f7476df78f94c798e68a1252410d861
Publikováno v:
Econometrics, Vol 10, Iss 4, p 36 (2022)
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend component is
Externí odkaz:
https://doaj.org/article/99535cfb11ae4a35b3c74dba76942ca3
Publikováno v:
Econometrics, Vol 5, Iss 4, p 48 (2017)
This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynami
Externí odkaz:
https://doaj.org/article/ba73d08027a044beada929004b691d6d
Publikováno v:
Journal of Computational and Graphical Statistics, 31(4), 1076-1090. Taylor and Francis
Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics between variables recorded at different frequencies. However, as the number of series and high-frequency observations per low-frequency period grow, MF-VARs suffer from the "curse of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1829b0c4e5f9b9e909630bc2fdbeac37
https://doi.org/10.1080/10618600.2022.2058003
https://doi.org/10.1080/10618600.2022.2058003
Autor:
Alain Hecq, Elisa Voisin
Publikováno v:
Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications ISBN: 9781837532131
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ada8f6ae31d1313153506ac71879a519
https://doi.org/10.1108/s0731-90532023000045b010
https://doi.org/10.1108/s0731-90532023000045b010
Autor:
Alain Hecq, Li Sun
Publikováno v:
Studies in Nonlinear Dynamics and Econometrics, 25(5), 393-416. Berkeley Electronic Press
We propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the i.i.d. case with regularly varying distributed innovations in QAR. Thi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0088dc24545eb121669e0b104f6fc0a0
https://cris.maastrichtuniversity.nl/en/publications/739c41aa-cca6-4bc4-8a1b-95544bc7e1d0
https://cris.maastrichtuniversity.nl/en/publications/739c41aa-cca6-4bc4-8a1b-95544bc7e1d0
Autor:
Francesco Giancaterini, Alain Hecq
Publikováno v:
Econometrics and Statistics. Elsevier
The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student’s t error process are reviewed. Several known existing methods are typically not applicable in the heavy-tailed framework. To this end, a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9cb19353e86a2eeb86f1d03318dc7913
https://doi.org/10.1016/j.ecosta.2021.11.007
https://doi.org/10.1016/j.ecosta.2021.11.007
Publikováno v:
Hecq, A, Issler, J V & Telg, S 2020, ' Mixed causal–noncausal autoregressions with exogenous regressors ', Journal of Applied Econometrics, vol. 35, no. 3, pp. 328-343 . https://doi.org/10.1002/jae.2751
Journal of Applied Econometrics, 35(3), 328-343. Wiley
Journal of Applied Econometrics, 35(3), 328-343. John Wiley and Sons Ltd
Journal of Applied Econometrics, 35(3), 328-343. Wiley
Journal of Applied Econometrics, 35(3), 328-343. John Wiley and Sons Ltd
Mixed causal–noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted into the error term to maintain the MAR structure of the dependent var
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4f0298aff356f7f5836ec3412bb9bad
https://doi.org/10.1002/jae.2751
https://doi.org/10.1002/jae.2751
Autor:
Gianluca Cubadda, Alain Hecq
Reduced rank regression (RRR) has been extensively employed for modelling economic and financial time series. The main goals of RRR are to specify and estimate models that are capable of reproducing the presence of common dynamics among variables suc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b6de14088b9d39892ce13ab3bf2447b2
https://doi.org/10.1093/acrefore/9780190625979.013.677
https://doi.org/10.1093/acrefore/9780190625979.013.677
Autor:
Gianluca Cubadda, Alain Hecq
Publikováno v:
Oxford Bulletin of Economics and Statistics, 84(5), 1123-1152. Wiley
This article aims to decompose a large dimensional vector autoregressive (VAR) model into two components, the first one being generated by a small-scale VAR and the second one being a white noise. Hence, a reduced number of common components generate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::725550c4c34129396c46d35032ec2366
http://hdl.handle.net/2108/301987
http://hdl.handle.net/2108/301987