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Generating Univariate Fractional Integration within a Large VAR(1)

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Abstract

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.
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Dates and versions

halshs-01944588 , version 1 (04-12-2018)

Identifiers

  • HAL Id : halshs-01944588 , version 1

Cite

Guillaume Chevillon, Alain Hecq, Sébastien Laurent. Generating Univariate Fractional Integration within a Large VAR(1). 2018. ⟨halshs-01944588⟩
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