Alain Hecq, Ivan Ricardo, Ines Wilms
arXiv 8 Nov 2024 · Econometrics · publishedEconomics Letters (2025) · 3 citations (OpenAlex)
arXiv:2411.05601 · PDF · DOI · OpenAlex · Extracted main text
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.
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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 | Li, Z. and Xiao, H (2024) Cointegrated matrix autoregression models | 0.928 | 5 | 3 | 80% |
| 2 | Chen, R.; Xiao, H. and Yang, D (2021) Autoregressive models for matrix-valued time series | 0.644 | 3 | 2 | 67% |
| 3 | Wilms, I. and Croux, C (2016) Forecasting using sparse cointegration self | 0.644 | 2 | 2 | 100% |
| 4 | Aznar, A. and Salvador, M (2002) Selecting the rank of the cointegration space and the form of the intercept using an information criterion | 0.405 | 1 | 1 | 100% |
| 5 | Akaike, H (1974) A new look at the statistical model identification | 0.405 | 1 | 1 | 100% |
| 6 | Cheng, X. and Phillips, P. C. B (2009) Semiparametric cointegrating rank selection | 0.405 | 1 | 1 | 100% |
| 7 | Cubadda, G. and Mazzali, M (2023) The vector error correction index model: representation, estimation and identification | 0.405 | 1 | 1 | 100% |
| 8 | Dawid, A. P (1981) Some matrix-variate distribution theory: Notational considerations and a Bayesian application | 0.405 | 1 | 1 | 100% |
| 9 | Gutierrez, L (2003) On the power of panel cointegration tests: a Monte Carlo comparison | 0.405 | 1 | 1 | 100% |
| 10 | Hecq, A.; Ricardo, I. and Wilms, I (2024) Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach self | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 17 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | The Cointegrated Matrix Autoregressive Model | 0.644 | 2 | 2 |
| 2 | Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration | 0.405 | 1 | 1 |
| 3 | Decomposing Co-Movements in Matrix-Valued Time Series: A Pseudo-Structural Reduced-Rank Approach | 0.405 | 1 | 1 |