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.
- Long memory
- Vector autoregressive model
- Final equation representation
- GAUSSIAN SEMIPARAMETRIC ESTIMATION
- LONG MEMORY PROCESSES
Chevillon, G., Hecq, A., & Laurent, S. (2018). Generating univariate fractional integration within a large VAR(1). Journal of Econometrics, 204(1), 54-65. https://doi.org/10.1016/j.jeconom.2018.01.002