Generating univariate fractional integration within a large VAR(1)

Guillaume Chevillon, Alain Hecq and Sébastien Laurent

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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: Vector autoregressive model; Final equation representation; Long memory; Marginalization (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-bec and nep-ore
Note: View the original document on HAL open archive server: https://hal.science/hal-01980783
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Citations: View citations in EconPapers (6)

Published in Journal of Econometrics, 2018, 204 (1), pp.54-65. ⟨10.1016/j.jeconom.2018.01.002⟩

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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:hal:journl:hal-01980783

DOI: 10.1016/j.jeconom.2018.01.002

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