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A Conversation With Marc Hallin

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  • Christian Genest

Abstract

Marc Hallin was born in Ghent, Belgium, on 23 April 1949. He holds a Licence en Sciences mathématiques (1971), a Licence en Sciences actuarielles (1972), and a Doctorat en Sciences (1976) from the Université libre de Bruxelles. He then rose through the professorial ranks at the same institution, being successively Premier Assistant (1977–1978), Chargé de Cours associé (1978–1984), Chargé de Cours (1984–1988), Professeur ordinaire (1988–2009), and Professeur ordinaire émérite upon retirement in 2009. Throughout his career, he supervised 25 PhD students and held invited positions at many institutions of high standing in Austria, Belgium, England, France, Hong Kong, Italy, Portugal, Spain, Switzerland, and the USA (most notably Princeton). A renown expert in time series analysis, econometrics, and non‐parametric inference, Marc is the author or coauthor of over 250 research papers, for which he received numerous awards, including the Medal of the Faculty of Mathematics and Physics of Charles University in Prague (2006), a Humboldt Forschungspreis from the Alexander von Humboldt Foundation (2012), the Pierre‐Simon de Laplace Award of the Société française de Statistique (2022), and the Gottfried E. Noether Distinguished Scholar Award of the American Statistical Association (2022). He gave several distinguished lecture series, including the 2017 Hermann Otto Hirschfeld Lecture Series at the Humboldt Universität zu Berlin, and the 2018 Mahalanobis Memorial Lecture at the Indian Statistical Institute. Over the years, he co‐edited a dozen books and proceedings, and served on the editorial boards of several journals, including the Journal of Time Series Analysis (1994–2009), the Journal of Econometrics (2013–2019), the Journal of Business and Economic Statistics (2018–), and the Theory and Methods Section of the Journal of the American Statistical Association (2005–). He is a Fellow of the Institute of Mathematical Statistics (1990) and the American Statistical Association (1997), as well as a member of the Classe des Sciences of the Royal Academy of Belgium (1999). Marc has been a member of the International Statistical Institute since 1985 and was (co‐) Editor‐in‐Chief of the International Statistical Review from 2010 to 2015.

Suggested Citation

  • Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    • Handle: RePEc:bla:istatr:v:92:y:2024:i:2:p:137-159
    DOI: 10.1111/insr.12576
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    References listed on IDEAS

    as
    1. Hallin, Marc & Ingenbleek, Jean-François, 1981. "Étude Statistique de la Probabilité de Sinistre en Assurance Automobile," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 40-56, June.
    2. Marc Hallin & Madan Lal Puri, 1994. "Aligned rank tests for linear models with autocorrelated errors," ULB Institutional Repository 2013/2045, ULB -- Universite Libre de Bruxelles.
    3. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
    4. Marc Hallin & Gilles Mordant & Johan Segers, 2020. "Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance," Working Papers ECARES 2020-06, ULB -- Universite Libre de Bruxelles.
    5. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
    6. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2004. "The generalized dynamic factor model consistency and rates," Journal of Econometrics, Elsevier, vol. 119(2), pages 231-255, April.
    7. Hallin, Marc & Puri, Madan L., 1991. "Time series analysis via rank order theory: Signed-rank tests for ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 1-29, October.
    8. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
    9. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    10. Marc. Hallin & Jean‐François Ingenbleek & Madan L. Puri, 1987. "Linear And Quadratic Serial Rank Tests For Randomness Against Serial Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(4), pages 409-424, July.
    11. Marc Hallin & Thomas S. Ferguson & Christian Genest, 2000. "Kendall's tau for serial dependence," ULB Institutional Repository 2013/2093, ULB -- Universite Libre de Bruxelles.
    12. Marc Hallin & Daniel Hlubinka & Šárka Hudecová, 2023. "Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 118(543), pages 1923-1939, July.
    13. Hallin, Marc & Ingenbleek, Jean-Francois & Puri, Madan L., 1989. "Asymptotically most powerful rank tests for multivariate randomness against serial dependence," Journal of Multivariate Analysis, Elsevier, vol. 30(1), pages 34-71, July.
    14. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
    15. Marc Hallin & Jean-François Ingenbleek, 1983. "The Swedish automobile portfolio in 1977: a statistical study," ULB Institutional Repository 2013/1997, ULB -- Universite Libre de Bruxelles.
    16. Bernard Garel & Marc Hallin, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(3), pages 551-579, September.
    17. Hallin, Marc, 1978. "Mixed autoregressive-moving average multivariate processes with time-dependent coefficients," Journal of Multivariate Analysis, Elsevier, vol. 8(4), pages 567-572, December.
    18. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
    19. Marc Hallin & Jana Jureckova, 1999. "Optimal tests for autoregressive models based on autoregression rank scores," ULB Institutional Repository 2013/2089, ULB -- Universite Libre de Bruxelles.
    20. Dufour, J-M. & Hallin, M., 1990. "Improved Eaton Bounds for Linear Combinations of Bounded Random Variables , with Statistical Applications," Papers 9104, Universite Libre de Bruxelles - C.E.M.E..
    21. Marc Hallin & Zudi Lu & Lanh T. Tran, 2001. "Density estimation for spatial linear processes," ULB Institutional Repository 2013/2109, ULB -- Universite Libre de Bruxelles.
    22. Hallin, Marc & Liska, Roman, 2007. "Determining the Number of Factors in the General Dynamic Factor Model," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 603-617, June.
    23. Marc Hallin & Madan Lal Puri, 1988. "Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models," ULB Institutional Repository 2013/2013, ULB -- Universite Libre de Bruxelles.
    24. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
    25. Marc Hallin & Guy Melard & Xavier Milhaud, 1992. "Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence," ULB Institutional Repository 2013/2037, ULB -- Universite Libre de Bruxelles.
    26. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
    27. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
    28. Marc Hallin & Jean-François Ingenbleek & Madan Lal Puri, 1984. "Linear serial rank tests for randomness against ARMA alternatives," ULB Institutional Repository 2013/2167, ULB -- Universite Libre de Bruxelles.
    29. Marc Hallin, 1984. "Spectral factorization of nonstationary moving average processes," ULB Institutional Repository 2013/2001, ULB -- Universite Libre de Bruxelles.
    30. Marc Hallin & Catherine Vermandele & Bas J. M. Werker, 2008. "Semiparametrically efficient inference based on signs and ranks for median‐restricted models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(2), pages 389-412, April.
    31. Marc Hallin & Catherine Vermandele & Bas Werker, 2008. "Semiparametrically efficient inference based on signs and ranks statistics for median-restricted models," ULB Institutional Repository 2013/13408, ULB -- Universite Libre de Bruxelles.
    32. Siegfried Hörmann & Łukasz Kidziński & Marc Hallin, 2015. "Dynamic functional principal components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(2), pages 319-348, March.
    33. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
    34. Alberto González-Sanz & Marc Hallin & Bodhisattva Sen, 2023. "Monotone Measure-Preserving Maps in Hilbert Spaces: Existence, Uniqueness, and Stability," Working Papers ECARES 2023-10, ULB -- Universite Libre de Bruxelles.
    35. Chamberlain, Gary, 1983. "Funds, Factors, and Diversification in Arbitrage Pricing Models," Econometrica, Econometric Society, vol. 51(5), pages 1305-1323, September.
    36. Marc Hallin & Michel Carbon & Lanh T. Tran, 1996. "Kernel density estimation on random fields: the L1 theory," ULB Institutional Repository 2013/2065, ULB -- Universite Libre de Bruxelles.
    37. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
    38. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
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      • In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.

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