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Generating univariate fractional integration within a large VAR(1). (English) Zbl 1387.62100

Summary: 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
26A33 Fractional derivatives and integrals
62P20 Applications of statistics to economics

Software:

ARFIMA; longmemo
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Full Text: DOI HAL

References:

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