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

Generating Univariate Fractional Integration within a Large VAR(1)

CHEVILLON Guillaume , HECQ A., LAURENT Sebastien

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.

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