3 citations · 10 across the 16 of their papers we have counts for
4 papers · 1 filter
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-…
Optimization of the Generalized Covariance Estimator in Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Alain Hecq +1
This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi…
Inference in Non-stationary High-Dimensional VARs
Alain Hecq, Luca Margaritella, Stephan Smeekes
In this paper we construct an inferential procedure for Granger causality in high-dimensional non-stationary vector autoregressive (VAR) models. Our method does not require knowled…
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
Alain Hecq, Marie Ternes, Ines Wilms
Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used to model high-frequency responses by means of low-frequency variables. However, due to the periodic structu…