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 language | English |
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Pages (from-to) | 54-65 |
Number of pages | 12 |
Journal | Journal of Econometrics |
Volume | 204 |
Issue number | 1 |
DOIs | |
Publication status | Published - May 2018 |
Keywords
- Long memory
- Vector autoregressive model
- Marginalization
- Final equation representation
- GAUSSIAN SEMIPARAMETRIC ESTIMATION
- LONG MEMORY PROCESSES
- DYNAMIC-MODELS
- AGGREGATION
- VOLATILITY