Generating univariate fractional integration within a large VAR(1)

DOI10.1016/j.jeconom.2018.01.002zbMath1387.62100OpenAlexW2788196454MaRDI QIDQ1745615

Sébastien Laurent, Alain Hecq, Guillaume Chevillon

Publication date: 18 April 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.01.002

zbMATH Keywords

long memorymarginalizationvector autoregressive modelfinal equation representation

Mathematics Subject Classification ID

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

Related Items (3)

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ On the univariate representation of BEKK models with common factors ⋮ We modeled long memory with just one lag!

Uses Software

• ARFIMA
• longmemo

Cites Work

• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Generating schemes for long memory processes: regimes, aggregation and linearity
• Nonstationarity-extended local Whittle estimation
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• On the univariate representation of BEKK models with common factors
• Time series analysis and simultaneous equation econometric models
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• Testing Models of Low-Frequency Variability
• Fractional differencing
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• A FAST FRACTIONAL DIFFERENCE ALGORITHM
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