25-042/III - Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers

• Authors
  Yicong Lin, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Shiqi Ye, AMSS Center for Forecasting Science
• Publication date
  July 4, 2025

• Keywords
  matrix-valued time series; spatial autoregression; time-varying parame- ters; score-driven dynamics
• JEL
  C31, C32, C58