Generating univariate fractional integration within a large VAR(1) - Archive ouverte HAL
Article Dans Une Revue Journal of Econometrics Année : 2018

Generating univariate fractional integration within a large VAR(1)

Résumé

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.
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Dates et versions

hal-01980783 , version 1 (30-04-2019)

Identifiants

Citer

Guillaume Chevillon, Alain Hecq, Sébastien Laurent. Generating univariate fractional integration within a large VAR(1). Journal of Econometrics, 2018, 204 (1), pp.54-65. ⟨10.1016/j.jeconom.2018.01.002⟩. ⟨hal-01980783⟩
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