Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "1265"
  #_source: array:26 [
    "id" => "1265"
    "slug" => "generating-univariate-fractional-integration-within-a-large-var1"
    "yearMonth" => "2018-05"
    "year" => "2018"
    "title" => "Generating Univariate Fractional Integration within a Large VAR(1),"
    "description" => "CHEVILLON, G., HECQ, A. et LAURENT, G. (2018). Generating Univariate Fractional Integration within a Large VAR(1), <i>Journal of Econometrics</i>, 1(204), pp. 54-65."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "CHEVILLON Guillaume"
        "bid" => "B00072304"
        "slug" => "chevillon-guillaume"
      ]
      1 => array:3 [
        "name" => "LAURENT Gilles"
        "bid" => "B00770447"
        "slug" => "laurent-gilles"
      ]
      2 => array:1 [
        "name" => "HECQ A."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "Long memory"
      1 => "Vector autoregressive model"
      2 => "Marginalization"
      3 => "Final equation representation"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S030440761830006X"
    "publicationInfo" => array:3 [
      "pages" => "54-65"
      "volume" => "1"
      "number" => "204"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "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."
      "en" => "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."
    ]
    "authors_fields" => array:2 [
      "fr" => "Marketing"
      "en" => "Marketing"
    ]
    "indexedAt" => "2024-12-22T01:21:46.000Z"
    "docTitle" => "Generating Univariate Fractional Integration within a Large VAR(1),"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, <a href="/cv/laurent-gilles">LAURENT Gilles</a>, HECQ A."
    "docDescription" => "<span class="document-property-authors">CHEVILLON Guillaume, LAURENT Gilles, HECQ A.</span><br><span class="document-property-authors_fields">Marketing</span> | <span class="document-property-year">2018</span>"
    "keywordList" => "<a href="#">Long memory</a>, <a href="#">Vector autoregressive model</a>, <a href="#">Marginalization</a>, <a href="#">Final equation representation</a>"
    "docPreview" => "<b>Generating Univariate Fractional Integration within a Large VAR(1),</b><br><span>2018-05 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://www.sciencedirect.com/science/article/abs/pii/S030440761830006X" target="_blank">Generating Univariate Fractional Integration within a Large VAR(1),</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.543328
  +"parent": null
}