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20242026
most citedReduced-Rank Matrix Autoregressive Models: A Medium Approach

2 citations · 2 across the 5 of their papers we have counts for

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econ.EM2024

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…

econ.EM2024★ 2 cited

Reduced-Rank Matrix Autoregressive Models: A Medium Approach

Alain Hecq, Ivan Ricardo, Ines Wilms

Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time ser…