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Dynamic factor models with infinite-dimensional factor spaces : one-sided representations
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 185 (2015) 2, pp. 359-371
Persistent link: https://www.econbiz.de/10011348429
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One-step R-estimation in linear models with stable errors
Hallin, Marc; Swan, Yvik; Verdebout, Thomas; Veredas, David - In: Journal of econometrics 172 (2013) 2, pp. 195-204
Persistent link: https://www.econbiz.de/10009706209
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Pseudo-Gaussian and rank-based optimal tests for random individual effects in large small panels
Bennala, Nezar; Hallin, Marc; Paindaveine, Davy - In: Journal of econometrics 170 (2012) 1, pp. 50-67
Persistent link: https://www.econbiz.de/10009673156
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Market liquidity as dynamic factors
Hallin, Marc; Mathias, Charles; Pirotte, Hugues; … - In: Journal of econometrics 163 (2011) 1, pp. 42-50
Persistent link: https://www.econbiz.de/10009270591
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Dynamic factors in the presence of blocks
Hallin, Marc; Liška, Roman - In: Journal of econometrics 163 (2011) 1, pp. 29-41
Persistent link: https://www.econbiz.de/10009270594
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A class of simple distribution-free-rank-based unit root tests
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 163 (2011) 2, pp. 200-214
Persistent link: https://www.econbiz.de/10009270609
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Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - In: Journal of econometrics 130 (2006) 1, pp. 123-142
Persistent link: https://www.econbiz.de/10003228631
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The generalized dynamic factor model consistency and rates
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of econometrics 119 (2004) 2, pp. 231-255
Persistent link: https://www.econbiz.de/10001956174
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
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A Simple R-estimation method for semiparametric duration models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 218 (2020) 2, pp. 736-749
Persistent link: https://www.econbiz.de/10012483179