2 papers
econ.EM2025
Large-Scale Curve Time Series with Common Stochastic Trends
Degui Li, Yu-Ning Li, Peter C. B. Phillips
This paper studies high-dimensional curve time series with common stochastic trends. A dual functional factor model structure is adopted with a high-dimensional factor model for th…
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…