Details about Marc Hallin

Access statistics for papers by Marc Hallin.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pha368

Working Papers

2009

1. A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests
   Discussion Paper, Tilburg University, Center for Economic Research
   Also in ECARES Working Papers, Université Libre de Bruxelles, Ecares (2009)
2. Market Liquidity as Dynamic Factors
   ECARES Working Papers, Université Libre de Bruxelles, Ecares View citations
3. Optimal Rank-Based Testing for Principal Component
   ECARES Working Papers, Université Libre de Bruxelles, Ecares

2008

4. Dynamic Factors in the Presence of Block Structure
   ECARES Working Papers, Université Libre de Bruxelles, Ecares View citations
   Also in Economics Working Papers, European University Institute (2008) View citations
5. Multivariate Quantiles and Multiple-Output Regression Quantiles: From L1 Optimization to Halfspace Depth
   ECARES Working Papers, Université Libre de Bruxelles, Ecares
6. On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
   ECARES Working Papers, Université Libre de Bruxelles, Ecares

2005

7. Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
   CIRANO Working Papers, CIRANO
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005)
   See also Journal Article in Journal of Econometrics (2006)

2004

8. Semiparametrically efficient inference based on signs and ranks for median restricted models
   Discussion Paper, Tilburg University, Center for Economic Research
   See also Journal Article in Journal Of The Royal Statistical Society Series B (2008)

2003

9. Serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality
   Discussion Paper, Tilburg University, Center for Economic Research View citations
10. The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations
    See also Journal Article in Journal of the American Statistical Association (2005)

2002

11. Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Monetary Economics (2003)

2001

12. EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2000

13. Reference Cycles: The NBER Methodology Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1999

14. The Generalized Dynamic Factor Model: Identification and Estimation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in The Review of Economics and Statistics (2000)

1992

15. Aligned Rank tests for Linear Models with Autocorrelated Error Terms
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations
    See also Journal Article in Journal of Multivariate Analysis (1994)
16. Improved Eaton Bounds for Linear Combinations of Bounded Random Variables with Statistical Applications
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)
17. Local Asymptotic Normality of Multivariate ARMA Processes with a Linear Trend
    Working Papers, Universite Libre de Bruxelles - C.E.M.E.
    See also Journal Article in Annals of the Institute of Statistical Mathematics (1995)
18. Rank Tests for Time Series Analysis, A Survey
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations

1991

19. An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991)

1990

20. SIMPLE EXACT BOUNDS FOR DISTRIBUTIONS OF LINEAR SIGNED RANK STATISTICS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990)

1989

21. IMPROVED BERRY-ESSEEN-CHEBYSHEV BOUNDS WITH STATISTICAL APPLICATIONS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
22. ON A CONJECTURE OF EDELMAN ON NONPARAMETRIC T-TESTS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)

1986

23. Tests Non Parametriques Optimaux Pour une Autoregression D'ordre Un
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques

Undated

24. A Berry-Ess\'een Theorem for Serial Rank Statistics
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Annals of the Institute of Statistical Mathematics (1997)

Journal Articles

2009

1. Optimal tests for homogeneity of covariance, scale, and shape
   Journal of Multivariate Analysis, 2009, 100, (3), 422-444 View citations

2008

2. Semiparametrically efficient inference based on signs and ranks for median-restricted models
   Journal Of The Royal Statistical Society Series B, 2008, 70, (2), 389-412
   See also Working Paper (2004)

2007

3. Determining the Number of Factors in the General Dynamic Factor Model
   Journal of the American Statistical Association, 2007, 102, 603-617 View citations
4. Optimal Tests of Noncorrelation Between Multivariate Time Series
   Journal of the American Statistical Association, 2007, 102, 938-951

2006

5. Comment
   Journal of the American Statistical Association, 2006, 101, 996-998
6. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
   Journal of Econometrics, 2006, 130, (1), 123-142
   See also Working Paper (2005)

2005

7. Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
   Journal of Multivariate Analysis, 2005, 93, (1), 122-163 View citations
8. Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series
   Journal of Time Series Analysis, 2005, 26, (1), 83-105 View citations
9. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
   Journal of the American Statistical Association, 2005, 100, 830-840 View citations
   See also Working Paper (2003)

2004

10. Kernel density estimation for spatial processes: the L1 theory
    Journal of Multivariate Analysis, 2004, 88, (1), 61-75 View citations
11. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 View citations

2003

12. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 View citations
    See also Working Paper (2002)

2000

13. Rank-based partial autocorrelations are not asymptotically distribution-free
    Statistics & Probability Letters, 2000, 47, (3), 219-227
14. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 View citations
    See also Working Paper (1999)

1999

15. L1-estimation in linear models with heterogeneous white noise
    Statistics & Probability Letters, 1999, 45, (4), 305-315

1998

16. Adaptive Estimation of the Lag of a Long–memory Process
    Statistical Inference for Stochastic Processes, 1998, 1, (2), 111-129 View citations
17. Characterization of error distributions in time-series regression models
    Statistics & Probability Letters, 1998, 38, (4), 335-345

1997

18. A Berry-Esséen Theorem for Serial Rank Statistics
    Annals of the Institute of Statistical Mathematics, 1997, 49, (4), 777-799 View citations
    See also Working Paper

1996

19. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
    Annals of the Institute of Statistical Mathematics, 1996, 48, (3), 429-449 View citations
20. Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
    Econometric Theory, 1996, 12, (01), 88-112

1995

21. Local asymptotic normality of multivariate ARMA processes with a linear trend
    Annals of the Institute of Statistical Mathematics, 1995, 47, (3), 551-579 View citations
    See also Working Paper (1992)

1994

22. Aligned Rank Tests for Linear Models with Autocorrelated Error Terms
    Journal of Multivariate Analysis, 1994, 50, (2), 175-237 View citations
    See also Working Paper (1992)

1991

23. Nonuniform Bounds for Nonparametric t-Tests
    Econometric Theory, 1991, 7, (02), 253-263 View citations
24. Time series analysis via rank order theory: Signed-rank tests for ARMA models
    Journal of Multivariate Analysis, 1991, 39, (1), 1-29 View citations

1989

25. Asymptotically most powerful rank tests for multivariate randomness against serial dependence
    Journal of Multivariate Analysis, 1989, 30, (1), 34-71

1987

26. Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
    Annales d'Economie et de Statistique, 1987, (6-7), 18

1983

27. Nonstationary Yule-Walker equations
    Statistics & Probability Letters, 1983, 1, (4), 189-195

1978

28. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
    Journal of Multivariate Analysis, 1978, 8, (4), 567-572 View citations