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Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2013

Persistent link: https://www.econbiz.de/10011455896

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2014

Persistent link: https://www.econbiz.de/10011456434

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2015

Persistent link: https://www.econbiz.de/10011457215

Identification of mixed causal-noncausal models : how fat should we go?

Hecq, Alain W. J.; Lieb, Lenard; Telg, Sean - 2015

Persistent link: https://www.econbiz.de/10011485411

Forecasting mixed-frequency time series with ECM-MIDAS models

Götz, Thomas B.; Hecq, Alain W. J.; Urbain, Jean-Pierre - In: Journal of forecasting 33 (2014) 3, pp. 198-213

Persistent link: https://www.econbiz.de/10010424835

Testing for Granger causality in large mixed-frequency VARs

Götz, Thomas B.; Hecq, Alain W. J. - 2014

Persistent link: https://www.econbiz.de/10010488365

Combining distributions of real-time forecasts : an application to U.S. growth

Götz, Thomas B.; Hecq, Alain W. J.; Urbain, Jean-Pierre - 2014

Persistent link: https://www.econbiz.de/10010488366

On the univariate representation of BEKK models with common factors

Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012

Persistent link: https://www.econbiz.de/10009515469

Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - In: International journal of forecasting 31 (2015) 3, pp. 862-875

Persistent link: https://www.econbiz.de/10011474611

Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002

The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...

Persistent link: https://www.econbiz.de/10011409009