arXiv 16 Dec 2022 · Statistics — Methodology · publishedComputational Economics (2024) · 2 citations (OpenAlex)
arXiv:2212.08615 · PDF · DOI · OpenAlex · Extracted main text
In many applications, data are observed as matrices with temporal dependence. Matrix-variate time series modeling is a new branch of econometrics. Although stylized facts in several fields, the existing models do not account for regime switches in the dynamics of matrices that are not abrupt. In this paper, we extend linear matrix-variate autoregressive models by introducing a regime-switching model capable of accounting for smooth changes, the matrix smooth transition autoregressive model. We present the estimation processes with the asymptotic properties demonstrated with simulated and real data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chen, R., H. Xiao, and D. Yang (2021) Autoregressive models for matrix-valued time series | 1.000 | 7 | 4 | 100% |
| 2 | Liu, X. and E. Y. Chen (2022) Identification and estimation of threshold matrix-variate factor models | 1.000 | 6 | 4 | 100% |
| 3 | Wang, D., X. Liu, and R. Chen (2019) Factor models for matrix-valued high-dimensional time series | 0.928 | 4 | 3 | 100% |
| 4 | Teräsvirta, T. and Y. Yang (2014) Specification, estimation and evaluation of vector smooth transition autoregressive models with applications | 0.843 | 3 | 3 | 100% |
| 5 | Hubrich, K. and T. Teräsvirta (2013, Jan) (2013) Thresholds and Smooth Transitions in Vector Autoregressive Models, Volume 32 | 0.811 | 4 | 2 | 100% |
| 6 | He, C., T. Teräsvirta, and A. González (2008) Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change | 0.511 | 2 | 1 | 100% |
| 7 | Ahmed, M. Y. and S. A. Sarkodie (2021) COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility | 0.405 | 1 | 1 | 100% |
| 8 | Angelini, G., E. Bacchiocchi, G. Caggiano, and L. Fanelli (2019) Uncertainty across volatility regimes | 0.405 | 1 | 1 | 100% |
| 9 | Billio, M., R. Casarin, M. Iacopini, and S. Kaufmann (2022) Bayesian Dynamic Tensor Regression | 0.405 | 1 | 1 | 100% |
| 10 | Guptar, A. and D. Nagar (1999) Matrix Variate Distributions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 23 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Threshold Tensor Factor Model in CP Form | 0.405 | 1 | 1 |