Generating Univariate Fractional Integration within a Large VAR(1)
Guillaume Chevillon (),
Alain Hecq () and
Sébastien Laurent ()
Working Papers from HAL
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)
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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:hal:wpaper:halshs-01944588
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