Details about Alain Hecq

Homepage:	https://www.alainhecq.eu/
Postal address:	University of Maastricht Dept. of Quantitative Economics P.O.Box 616 6200 MD Maastricht The Netherlands
Workplace:	Vakgroep Kwantitatieve Economie (Department of Quantitative Economics), School of Business and Economics, Maastricht University, (more information at EDIRC)

Access statistics for papers by Alain Hecq.

Last updated 2023-06-29. Update your information in the RePEc Author Service.

Short-id: phe63

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Working Papers

2023

1. Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models
   CEIS Research Paper, Tor Vergata University, CEIS
   Also in Papers, arXiv.org (2022)
   See also Journal Article in Econometrics (2023)
2. Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
   Papers, arXiv.org
3. Inference in Non-stationary High-Dimensional VARs
   Papers, arXiv.org
4. Optimization of the Generalized Covariance Estimator in Noncausal Processes
   Papers, arXiv.org

2022

5. A short term credibility index for central banks under inflation targeting: an application to Brazil
   Papers, arXiv.org
6. Dimension Reduction for High Dimensional Vector Autoregressive Models
   CEIS Research Paper, Tor Vergata University, CEIS View citations (3)
   Also in Papers, arXiv.org (2022) View citations (4)
   See also Journal Article in Oxford Bulletin of Economics and Statistics (2022)
7. Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
   Papers, arXiv.org View citations (2)
8. Inference in mixed causal and noncausal models with generalized Student's t-distributions
   Papers, arXiv.org View citations (3)
9. Is climate change time reversible?
   Working Paper series, Rimini Centre for Economic Analysis View citations (5)
   Also in Papers, arXiv.org (2022) View citations (1)
   Working Papers, University of Milano-Bicocca, Department of Economics (2022) View citations (1)
   See also Journal Article in Econometrics (2022)
10. Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
    Papers, arXiv.org View citations (1)
    See also Chapter (2023)
11. Spectral estimation for mixed causal-noncausal autoregressive models
    Papers, arXiv.org View citations (1)

2021

12. Adaptive Random Bandwidth for Inference in CAViaR Models
    Papers, arXiv.org
13. Reduced Rank Regression Models in Economics and Finance
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)

2020

14. Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
    Papers, arXiv.org View citations (8)

2019

15. Forecasting bubbles with mixed causal-noncausal autoregressive models
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article in Econometrics and Statistics (2021)
16. Identification of Noncausal Models by Quantile Autoregressions
    Papers, arXiv.org View citations (2)
17. Mixed causal-noncausal autoregressions with exogenous regressors
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2020)

2018

18. Detecting Co-Movements in Noncausal Time Series
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in MPRA Paper, University Library of Munich, Germany (2017)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2019)
19. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
20. Generating Univariate Fractional Integration within a Large VAR(1)
    AMSE Working Papers, Aix-Marseille School of Economics, France View citations (6)
    Also in Working Papers, HAL (2018) View citations (6)
    Post-Print, HAL (2018) View citations (6)
    See also Journal Article in Journal of Econometrics (2018)
21. Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Journal of Time Series Analysis (2019)

2017

22. Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors
    MPRA Paper, University Library of Munich, Germany View citations (1)

2016

23. A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (3)
    See also Journal Article in International Journal of Forecasting (2017)
24. Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
    MPRA Paper, University Library of Munich, Germany View citations (6)
    See also Journal Article in Econometrics (2017)
25. On the Univariate Representation of BEKK Models with Common Factors
    Post-Print, HAL View citations (6)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (4)
    See also Journal Article in Journal of Time Series Econometrics (2016)
26. Testing for Deterministic Seasonality in Mixed-Frequency VARs
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (1)
    See also Journal Article in Economics Letters (2016)
27. Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions
    CIRANO Working Papers, CIRANO View citations (1)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) View citations (1)
    See also Journal Article in Journal of Macroeconomics (2019)

2015

28. Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (5)
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2013) View citations (1)
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2014)
    See also Journal Article in International Journal of Forecasting (2015)
29. Identification of Mixed Causal-Noncausal Models: How Fat Should We Go?
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (3)
30. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    Working Papers, HAL View citations (2)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015) View citations (2)
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (2)
31. Testing for Granger Causality in Large Mixed-Frequency VARs
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (1)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2014) View citations (2)
    Discussion Papers, Deutsche Bundesbank (2015)
    See also Journal Article in Journal of Econometrics (2016)

2014

32. Combining distributions of real-time forecasts: An application to U.S. growth
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (2)

2013

33. Nowcasting causality in mixed frequency vector autoregressive models
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (2)
    See also Journal Article in Economics Letters (2014)
34. Testing for common cycles in non-stationary VARs with varied frecquency data
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (20)
    See also Chapter (2013)
35. Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2012

36. A Common-feature approach for testing present-value restrictions with financial data
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (5)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (9)
37. A General to Specific Approach for Constructing Composite Business Cycle Indicators
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article in Economic Modelling (2013)
38. Forecasting Mixed Frequency Time Series with ECM-MIDAS Models
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (7)
    See also Journal Article in Journal of Forecasting (2014)

2011

39. Are panel unit root tests useful for real-time data?
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
40. Common intraday periodicity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (11)
    See also Journal Article in The Journal of Financial Econometrics (2011)
41. On the univariate representation of multivariate volatility models with common factors
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)

2009

42. Testing for Common Autocorrelation in Data Rich Environments
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
    See also Journal Article in Journal of Forecasting (2011)

2008

43. Common Shocks, Common Dynamics, and the International Business Cycle
    CEIS Research Paper, Tor Vergata University, CEIS View citations (8)
    Also in Economics & Statistics Discussion Papers, University of Molise, Department of Economics (2003) View citations (8)
    See also Journal Article in Economic Modelling (2007)
44. Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article in Journal of Econometrics (2009)

2007

45. Macro-panels and reality
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
    See also Journal Article in Economics Letters (2008)
46. Studying co-movements in large multivariate models without multivariate modelling
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (8)

2006

47. Measuring the Sources of Cyclical Fluctuations in the G7 Economies
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)

2005

48. Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (4)

2003

49. The Role of Common Cyclical Features for Coincident and Leading Indexes Building
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)

2002

50. Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features
    CESifo Working Paper Series, CESifo View citations (28)
    See also Journal Article in Econometric Reviews (2002)

2001

51. Testing for Common Cyclical Features in Var Models with Cointegration
    CESifo Working Paper Series, CESifo View citations (29)

2000

52. Determining a perfect optimum currency area using common cycles
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
53. Labor Mobility in Belgium: An Empirical Analysis of the Relationship between Provincial Employment Dynamics and Migration
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
54. Testing for Common Cyclical Features in Nonstationary Panel Data Models
    CESifo Working Paper Series, CESifo View citations (6)

1999

55. Convergence des groupes en Europe: une analyse sur données régionales
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
56. Inference in codependence: some Monte Carlo results and applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    See also Journal Article in Annals of Economics and Statistics (1999)

1998

57. Codependence and convergence in the EC economies
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article in Journal of Policy Modeling (1998)
58. Stability of Okun's Law in a Codependent System
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (7)

1997

59. Asymmetric shocks inside future EMU
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
    See also Journal Article in Journal of Economic Integration (1997)

1992

60. Rapport de recherche relatif au développement des comptes des entreprises et des ménages dans le cadre du système européen des comptes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

Journal Articles

2023

1. Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models
   Econometrics, 2023, 11, (1), 1-16
   See also Working Paper (2023)

2022

2. Dimension Reduction for High‐Dimensional Vector Autoregressive Models
   Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 1123-1152
   See also Working Paper (2022)
3. Is Climate Change Time-Reversible?
   Econometrics, 2022, 10, (4), 1-18 View citations (2)
   See also Working Paper (2022)

2021

4. Forecasting bubbles with mixed causal-noncausal autoregressive models
   Econometrics and Statistics, 2021, 20, (C), 29-45 View citations (5)
   See also Working Paper (2019)
5. Selecting between causal and noncausal models with quantile autoregressions
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (5), 393-416 View citations (2)

2020

6. Mixed causal–noncausal autoregressions with exogenous regressors
   Journal of Applied Econometrics, 2020, 35, (3), 328-343 View citations (11)
   See also Working Paper (2019)

2019

7. Detecting Co‐Movements in Non‐Causal Time Series
   Oxford Bulletin of Economics and Statistics, 2019, 81, (3), 697-715 View citations (5)
   See also Working Paper (2018)
8. Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes
   Journal of Time Series Analysis, 2019, 40, (6), 914-935 View citations (3)
   See also Working Paper (2018)
9. Testing for news and noise in non-stationary time series subject to multiple historical revisions
   Journal of Macroeconomics, 2019, 60, (C), 396-407
   See also Working Paper (2016)

2018

10. Generating univariate fractional integration within a large VAR(1)
    Journal of Econometrics, 2018, 204, (1), 54-65 View citations (7)
    See also Working Paper (2018)

2017

11. A vector heterogeneous autoregressive index model for realized volatility measures
    International Journal of Forecasting, 2017, 33, (2), 337-344 View citations (19)
    See also Working Paper (2016)
12. Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
    Econometrics, 2017, 5, (4), 1-22 View citations (9)
    See also Working Paper (2016)

2016

13. Combining forecasts from successive data vintages: An application to U.S. growth
    International Journal of Forecasting, 2016, 32, (1), 61-74 View citations (5)
14. Identification of Mixed Causal-Noncausal Models in Finite Samples
    Annals of Economics and Statistics, 2016, (123-124), 307-331 View citations (17)
15. On the Univariate Representation of BEKK Models with Common Factors
    Journal of Time Series Econometrics, 2016, 8, (2), 91-113 View citations (8)
    See also Working Paper (2016)
16. Testing for Granger causality in large mixed-frequency VARs
    Journal of Econometrics, 2016, 193, (2), 418-432 View citations (23)
    See also Working Paper (2015)
17. Testing for deterministic seasonality in mixed-frequency VARs
    Economics Letters, 2016, 149, (C), 20-24 View citations (1)
    See also Working Paper (2016)

2015

18. Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions
    International Journal of Forecasting, 2015, 31, (3), 862-875 View citations (5)
    See also Working Paper (2015)

2014

19. Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
    Journal of Forecasting, 2014, 33, (3), 198-213 View citations (21)
    See also Working Paper (2012)
20. Nowcasting causality in mixed frequency vector autoregressive models
    Economics Letters, 2014, 122, (1), 74-78 View citations (15)
    See also Working Paper (2013)

2013

21. A general to specific approach for constructing composite business cycle indicators
    Economic Modelling, 2013, 33, (C), 367-374 View citations (4)
    See also Working Paper (2012)

2011

22. Common Intraday Periodicity
    The Journal of Financial Econometrics, 2011, 10, (2), 325-353 View citations (5)
    See also Working Paper (2011)
23. Testing for common autocorrelation in data‐rich environments
    Journal of Forecasting, 2011, 30, (3), 325-335 View citations (25)
    See also Working Paper (2009)

2009

24. Asymmetric business cycle co-movements
    Applied Economics Letters, 2009, 16, (6), 579-584 View citations (2)
25. Studying co-movements in large multivariate data prior to multivariate modelling
    Journal of Econometrics, 2009, 148, (1), 25-35 View citations (27)
    See also Working Paper (2008)

2008

26. Macro-panels and reality
    Economics Letters, 2008, 99, (3), 537-540 View citations (5)
    See also Working Paper (2007)

2007

27. Common shocks, common dynamics, and the international business cycle
    Economic Modelling, 2007, 24, (1), 149-166 View citations (24)
    See also Working Paper (2008)

2006

28. Common cyclical features analysis in VAR models with cointegration
    Journal of Econometrics, 2006, 132, (1), 117-141 View citations (66)

2005

29. Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion
    Journal of International Money and Finance, 2005, 24, (8), 1317-1334 View citations (39)
30. Should we really care about building business cycle coincident indexes!
    Applied Economics Letters, 2005, 12, (3), 141-144 View citations (2)

2002

31. SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
    Econometric Reviews, 2002, 21, (3), 273-307 View citations (30)
    See also Working Paper (2002)

2001

32. On non-contemporaneous short-run co-movements
    Economics Letters, 2001, 73, (3), 389-397 View citations (44)

2000

33. Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach
    Empirica, 2000, 27, (2), 115-132 View citations (4)
34. Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles
    Oxford Bulletin of Economics and Statistics, 2000, 62, (4), 511-532 View citations (56)
35. Stability of activity-unemployment relationship in a codependent system
    Applied Economics Letters, 2000, 7, (10), 687-693 View citations (1)

1999

36. Inference in Codependence: Some Monte Carlo Results and Applications
    Annals of Economics and Statistics, 1999, (54), 69-90 View citations (8)
    See also Working Paper (1999)

1998

37. Codependence and Convergence in the EC Economies
    Journal of Policy Modeling, 1998, 20, (4), 403-426 View citations (6)
    See also Working Paper (1998)
38. Does seasonal adjustment induce common cycles?
    Economics Letters, 1998, 59, (3), 289-297 View citations (15)

1997

39. Asymmetric Shocks Inside Future EMU
    Journal of Economic Integration, 1997, 12, 131-140 View citations (8)
    See also Working Paper (1997)
40. Testing for the Price‐ and Wage‐Setting Model in Belgium Using Multivariate Cointegration Tests
    LABOUR, 1997, 11, (1), 177-199 View citations (1)

1996

41. IGARCH effect on autoregressive lag length selection and causality tests
    Applied Economics Letters, 1996, 3, (5), 317-323 View citations (11)

1995

42. Unit root tests with level shift in the presence of GARCH
    Economics Letters, 1995, 49, (2), 125-130 View citations (4)

1993

43. Misspecification tests, unit roots and level shifts
    Economics Letters, 1993, 43, (2), 129-135 View citations (9)

1992

44. L'impact du changement de définition de l'indice des prix de gros en Belgique sur la causalité prix de gros/prix de détail
    Brussels Economic Review, 1992, 136, 491-514

Chapters

2023

1. Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 209-233
   See also Working Paper (2022)

2013

2. Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 361-393
   See also Working Paper (2013)