Generating Univariate Fractional Integration within a Large VAR(1)

Mardi | 2017-10-17
Salle des thèses 16h – 17h20

Guillaume CHEVILLON – Alain HECQ – Sébastien LAURENT

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.