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Generating Univariate Fractional Integration within a Large VAR(1)

Guillaume Chevillon (), Alain Hecq () and Sébastien Laurent ()

Working Papers from HAL

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: final equation representation; long memory; vector autoregressive model; marginalization (search for similar items in EconPapers)
Date: 2018-12
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01944588
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Related works:
Journal Article: Generating univariate fractional integration within a large VAR(1) (2018) Downloads
Working Paper: Generating Univariate Fractional Integration within a Large VAR(1) (2018) Downloads
Working Paper: Generating univariate fractional integration within a large VAR(1) (2018) Downloads
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