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Time-Dependent Time Series Models: Comments on Marc Hallin’s Early Contributions and a Pragmatic View on Estimation

In: Recent Advances in Econometrics and Statistics

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  • Guy Mélard

    (Solvay Brussels School of Economics and Management, ECARES, Université libre de Bruxelles)

Abstract

In this chapter, we provide a survey of Marc Hallin’s early contributions to time series analysis. These contributions, which go back to the years 1980s, predate his interest in panel data and high-dimensional dynamic models. We begin with his presentation of causality and (classical) invertibility for VARMA models with time-dependent coefficients (tdVARMA models). Then, we present the generalized Yule-Walker equations that he developed with Ingenbleek for tdVAR models, together with their solution of the model-building problem for these models. Turning to tdVMA models, we sketch the model-building problem and discuss the concept of generalized invertibility. Finally, we comment and extend Marc Hallin’s results and exploit the tdVAR(1) representation one step further to estimate tdVARMA models.

Suggested Citation

  • Guy Mélard, 2024. "Time-Dependent Time Series Models: Comments on Marc Hallin’s Early Contributions and a Pragmatic View on Estimation," Springer Books, in: Matteo Barigozzi & Siegfried Hörmann & Davy Paindaveine (ed.), Recent Advances in Econometrics and Statistics, pages 429-446, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-61853-6_22
    DOI: 10.1007/978-3-031-61853-6_22
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