2 papers
econ.EM2026
Decomposing Co-Movements in Matrix-Valued Time Series: A Pseudo-Structural Reduced-Rank Approach
Alain Hecq, Ivan Ricardo, Ines Wilms
A pseudo-structural framework is proposed for analyzing contemporaneous co-movements in stationary reduced-rank matrix autoregressive (RRMAR) models. Unlike conventional vector aut…
econ.EM2025
Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series
Alain Hecq, Ivan Ricardo, Ines Wilms
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 row…