2 papers
econ.EM2026
A Structural Matrix Autoregression Framework for International Spillovers
Ignacio Moreira Lara, Jan Prüser, Christoph Hanck
Understanding how macroeconomic shocks propagate across countries requires structural models that can jointly identify country-specific shocks and their international transmission.…
econ.EM2024
Testing for Nonlinear Cointegration under Heteroskedasticity
Christoph Hanck, Till Massing
This article discusses Shin (1994, Econometric Theory)-type tests for nonlinear cointegration in the presence of variance breaks. We build on cointegration test approaches under he…