Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series

Alain Hecq, Ivan Ricardo and Ines Wilms

Papers from arXiv.org

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.

Date: 2024-11, Revised 2025-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Detecting cointegrating relations in non-stationary matrix-valued time series (2025)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2411.05601

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