Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "1265"
#_source: array:26 [
"id" => "1265"
"slug" => "1265-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. 
CHEVILLON, G., HECQ, A. et LAURENT, G. (2018). Generating Univariate Fractional Integration within a "
"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. This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can gene "
"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. This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can gene "
]
"authors_fields" => array:2 [
"fr" => "Marketing"
"en" => "Marketing"
]
"indexedAt" => "2025-04-05T18:21:44.000Z"
"docTitle" => "Generating Univariate Fractional Integration within a Large VAR(1),"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, <a href="/cv/laurent-gilles">LAURENT Gilles</a>, HECQ A. <a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, <a href="/cv/laurent-gilles">LAURENT Gill "
"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> <span class="document-property-authors">CHEVILLON Guillaume, LAURENT Gilles, HECQ A.</span><br><span "
"keywordList" => "<a href="#">Long memory</a>, <a href="#">Vector autoregressive model</a>, <a href="#">Marginalization</a>, <a href="#">Final equation representation</a> <a href="#">Long memory</a>, <a href="#">Vector autoregressive model</a>, <a href="#">Marginalizatio "
"docPreview" => "<b>Generating Univariate Fractional Integration within a Large VAR(1),</b><br><span>2018-05 | Articles </span> <b>Generating Univariate Fractional Integration within a Large VAR(1),</b><br><span>2018-05 | Articl "
"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> <a href="https://www.sciencedirect.com/science/article/abs/pii/S030440761830006X" target="_blank">Ge "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.66292
+"parent": null
}
