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
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
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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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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