Generating Univariate Fractional Integration within a Large VAR(1)

Guillaume Chevillon, Alain Hecq and Sébastien Laurent

No 1844, AMSE Working Papers from Aix-Marseille School of Economics, France

Abstract: This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can generate fractional integration in the marginalized univariate series. We derive high-level assumptions under which the final equation representation of a VAR(1) leads to univariate fractional white noises and verify the validity of these assumptions for two specific models.

Keywords: long memory; vector autoregressive model; marginalization; final equation representation (search for similar items in EconPapers)
JEL-codes: C10 C32 C55 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2018-12
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Generating univariate fractional integration within a large VAR(1) (2018)
Working Paper: Generating univariate fractional integration within a large VAR(1) (2018)
Working Paper: Generating Univariate Fractional Integration within a Large VAR(1) (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:1844

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