Generating Univariate Fractional Integration within a Large VAR(1)
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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