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

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