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Journal articles (2018), Journal of Econometrics, 1 (204), pp. 54-65

Generating Univariate Fractional Integration within a Large VAR(1),

CHEVILLON Guillaume , HECQ A., LAURENT Gilles

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. Link to the article

CHEVILLON, G., HECQ, A. and LAURENT, S. (2018). Generating Univariate Fractional Integration within a Large VAR(1). Journal of Econometrics, 204(1), pp. 54-65.

Keywords : #Long-memory, #Vector-autoregressive-model, #Marginalization, #Final-equation-representation