LAUSR

Generating Univariate Fractional Integration within a Large VAR(1)

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1 Published in 2018 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2018.01.002

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… read more here.

Keywords: fractional integration; univariate fractional; within large; generating univariate ... See more keywords