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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… Click to show full 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.
Keywords:
fractional integration;
univariate fractional;
within large;
generating univariate;
integration within
Journal Title: Journal of Econometrics
Year Published: 2018
Link to full text (if available)
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Journal Title: Journal of Econometrics
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!