Generating univariate fractional integration within a large VAR(1)

Guillaume Chevillon*, Alain Hecq, Sebastien Laurent

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

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.
Original languageEnglish
Pages (from-to)54-65
Number of pages12
JournalJournal of Econometrics
Volume204
Issue number1
DOIs
Publication statusPublished - May 2018

Keywords

  • Long memory
  • Vector autoregressive model
  • Marginalization
  • Final equation representation
  • GAUSSIAN SEMIPARAMETRIC ESTIMATION
  • LONG MEMORY PROCESSES
  • DYNAMIC-MODELS
  • AGGREGATION
  • VOLATILITY

Cite this

Chevillon, Guillaume ; Hecq, Alain ; Laurent, Sebastien. / Generating univariate fractional integration within a large VAR(1). In: Journal of Econometrics. 2018 ; Vol. 204, No. 1. pp. 54-65.
@article{a1a74049995149de9ef19b72fa150213,
title = "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.",
keywords = "Long memory, Vector autoregressive model, Marginalization, Final equation representation, GAUSSIAN SEMIPARAMETRIC ESTIMATION, LONG MEMORY PROCESSES, DYNAMIC-MODELS, AGGREGATION, VOLATILITY",
author = "Guillaume Chevillon and Alain Hecq and Sebastien Laurent",
note = "data source: no data used",
year = "2018",
month = "5",
doi = "10.1016/j.jeconom.2018.01.002",
language = "English",
volume = "204",
pages = "54--65",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier Science",
number = "1",

}

Generating univariate fractional integration within a large VAR(1). / Chevillon, Guillaume; Hecq, Alain; Laurent, Sebastien.

In: Journal of Econometrics, Vol. 204, No. 1, 05.2018, p. 54-65.

Research output: Contribution to journalArticleAcademicpeer-review

TY - JOUR

T1 - Generating univariate fractional integration within a large VAR(1)

AU - Chevillon, Guillaume

AU - Hecq, Alain

AU - Laurent, Sebastien

N1 - data source: no data used

PY - 2018/5

Y1 - 2018/5

N2 - 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.

AB - 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.

KW - Long memory

KW - Vector autoregressive model

KW - Marginalization

KW - Final equation representation

KW - GAUSSIAN SEMIPARAMETRIC ESTIMATION

KW - LONG MEMORY PROCESSES

KW - DYNAMIC-MODELS

KW - AGGREGATION

KW - VOLATILITY

U2 - 10.1016/j.jeconom.2018.01.002

DO - 10.1016/j.jeconom.2018.01.002

M3 - Article

VL - 204

SP - 54

EP - 65

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -