Generating univariate fractional integration within a large VAR(1)
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Publication:1745615
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional derivatives and integrals (26A33)
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Uses Software
Cites Work
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