3 citations · 5 across the 3 of their papers we have counts for
3 papers
econ.EM2024★ 2 cited
Reduced-Rank Matrix Autoregressive Models: A Medium Approach
Alain Hecq, Ivan Ricardo, Ines Wilms
Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time ser…
econ.EM2023
Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models
Alain Hecq, Daniel Velasquez-Gaviria
This paper introduces new techniques for estimating, identifying and simulating mixed causal-noncausal invertible-noninvertible models. We propose a framework that integrates high-…
econ.EM2022★ 3 cited
Detecting common bubbles in multivariate mixed causal-noncausal models
Gianluca Cubadda, Alain Hecq, Elisa Voisin
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recen…