Generating Univariate Fractional Integration within a Large VAR(1)

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.
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https://halshs.archives-ouvertes.fr/halshs-01944588
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Submitted on : Tuesday, December 4, 2018 - 5:24:20 PM
Last modification on : Wednesday, March 6, 2019 - 2:49:13 PM

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Guillaume Chevillon, Alain Hecq, Sébastien Laurent. Generating Univariate Fractional Integration within a Large VAR(1). 2018. ⟨halshs-01944588⟩

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