Alain Hecq

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Spectral estimation for mixed causal-noncausal autoregressive models Econometric Reviews	2025-11-26	Paper
Detecting cointegrating relations in non-stationary matrix-valued time series Economics Letters	2025-07-16	Paper
Non-causal and non-invertible ARMA models: identification, estimation and application in equity portfolios Journal of Time Series Analysis	2025-02-19	Paper
Optimization of the generalized covariance estimator in noncausal processes Statistics and Computing	2024-07-31	Paper
Selecting between causal and noncausal models with quantile autoregressions Studies in Nonlinear Dynamics & Econometrics	2023-04-27	Paper
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions Journal of Computational and Graphical Statistics	2022-12-16	Paper
Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims	2020-07-10	Paper
Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes Journal of Time Series Analysis	2019-12-06	Paper
Forecasting mixed-frequency time series with ECM-MIDAS models Journal of Forecasting	2018-10-12	Paper
Testing for deterministic seasonality in mixed-frequency VARs Economics Letters	2018-08-29	Paper
Generating univariate fractional integration within a large VAR(1) Journal of Econometrics	2018-04-18	Paper
On the univariate representation of BEKK models with common factors Journal of Time Series Econometrics	2018-02-07	Paper
Testing for Granger causality in large mixed-frequency VARs Journal of Econometrics	2016-07-12	Paper
Studying co-movements in large multivariate data prior to multivariate modelling Journal of Econometrics	2016-07-04	Paper
Common cyclical features analysis in VAR models with cointegration Journal of Econometrics	2016-06-10	Paper
Nowcasting causality in mixed frequency vector autoregressive models Economics Letters	2014-06-18	Paper
Macro-panels and reality Economics Letters	2013-01-29	Paper
Testing for common autocorrelation in data-rich environments Journal of Forecasting	2011-05-10	Paper
SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES Econometric Reviews	2004-03-22	Paper
On non-contemporaneous short-run co-movements Economics Letters	2002-03-03	Paper
Does seasonal adjustment induce common cycles? Economics Letters	1998-08-13	Paper
Misspecification tests, unit roots and level shifts Economics Letters	1994-04-12	Paper

Research outcomes over time

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