@techreport{81e23260ac6b483eb2a66ecc50df7d71,
title = "Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series",
abstract = "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 rows and columns of the matrix-valued time series and use information criteria to select the cointegration ranks. Through Monte Carlo simulations and a macroeconomic application, we demonstrate that our approach provides a reliable estimation of the number of cointegrating relationships.",
keywords = "matrix-valued time series, cointegration rank, error correction model, information criteria",
author = "Alain Hecq and Ivan Ricardo and Ines Wilms",
year = "2024",
doi = "10.48550/arXiv.2411.05601",
language = "English",
series = "arXiv.org",
number = "2411.05601 ",
publisher = "Cornell University - arXiv",
address = "United States",
type = "WorkingPaper",
institution = "Cornell University - arXiv",
}