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econ.EM2025
Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
Degui Li, Yayi Yan, Qiwei Yao
In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into…
econ.EM2025
Panel Data Estimation and Inference: Homogeneity versus Heterogeneity
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is a…