A1093
Title: Detecting cointegrating relations in non-stationary matrix-valued time series
Authors: Ivan Ricardo - Maastricht University (Netherlands) [presenting]
Abstract: The aim is to propose a matrix error correction model to identify cointegration relations in matrix-valued time series. Separate cointegrating relations are hereby allowed along the rows and columns of the matrix-valued time series, and information criteria are used to select the cointegration ranks. Through Monte Carlo simulations and a macroeconomic application, it is demonstrated that the approach provides a reliable estimation of the number of cointegrating relationships.
