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- handle: 10670/1.p51ohp
- halshs: halshs-01944588
info:eu-repo/semantics/OpenAccess
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long memory vector autoregressive model marginalization final equation representation C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C10 - General C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C55 - Large Data Sets: Modeling and AnalysisSujets proches
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Guillaume Chevillon et al., « Generating Univariate Fractional Integration within a Large VAR(1) », HAL-SHS : économie et finance, ID : 10670/1.p51ohp
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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.