Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| _version_ | 1866911952364634112 |
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| author | Hecq, Alain Ricardo, Ivan Wilms, Ines |
| author_facet | Hecq, Alain Ricardo, Ivan Wilms, Ines |
| contents | Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time series, where each dimension may have a different co-movement structure. We propose reduced-rank regressions with a tensor structure for the coefficient matrix to provide new insights into co-movements within and between the dimensions of matrix-valued time series. Moreover, we relate the co-movement structures to two commonly used reduced-rank models, namely the serial correlation common feature and the index model. Two empirical applications involving U.S.\ states and economic indicators for the Eurozone and North American countries illustrate how our new tools identify co-movements. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_07973 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach Hecq, Alain Ricardo, Ivan Wilms, Ines Econometrics Methodology Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time series, where each dimension may have a different co-movement structure. We propose reduced-rank regressions with a tensor structure for the coefficient matrix to provide new insights into co-movements within and between the dimensions of matrix-valued time series. Moreover, we relate the co-movement structures to two commonly used reduced-rank models, namely the serial correlation common feature and the index model. Two empirical applications involving U.S.\ states and economic indicators for the Eurozone and North American countries illustrate how our new tools identify co-movements. |
| title | Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach |
| topic | Econometrics Methodology |
| url | https://arxiv.org/abs/2407.07973 |