Detecting cointegrating relations in non-stationary matrix-valued time series

Alain Hecq, Ivan Ricardo and Ines Wilms

Economics Letters, 2025, vol. 248, issue C

Abstract: This paper proposes a Matrix Error Correction Model to identify cointegration relations in matrix-valued time series. We hereby allow separate cointegrating relations along the rows and columns of the matrix-valued time series and use information criteria to select the cointegration ranks. Through Monte Carlo simulations and a macroeconomic application, we demonstrate that our approach provides a reliable estimation of the number of cointegrating relationships.

Keywords: Matrix-valued time series; Cointegration rank; Error correction model; Information criteria (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176525000424
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series (2025)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:248:y:2025:i:c:s0165176525000424

DOI: 10.1016/j.econlet.2025.112205

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().