A1181
Title: Cointegrated models for matrix valued time-series
Authors: Emanuele Lopetuso - Università di Padova (Italy) [presenting]
Massimiliano Caporin - University of Padova (Italy)
Abstract: Traditional econometric analyses represent observations as vectors despite the inherent complexity of empirical data structures. When data are organized along dual classification dimensions, a matrix representation provides a more natural and interpretable framework. Building on recent advances in matrix autoregressive (MAR) modeling, the aim is to introduce a novel error correction representation tailored for matrix-structured data. Through comparative analysis with existing methodologies, we demonstrate two critical advancements. First, the proposed model preserves the interpretative foundations of conventional cointegration analysis, with coefficients that explicitly capture dynamics rooted in adjustment toward steady-state positions. Second, in contrast to previous formulations, the error correction framework allows for an equivalent matrix autoregressive representation, preserving the fundamental structure of the data in both specifications. This ensures that the matrix representation reflects an intrinsic characteristic of the data.
