Generating univariate fractional integration within a large VAR(1)
type: Item
instance of: scholarly article
title: Generating univariate fractional integration within a large VAR(1)
zbMATH Open document ID: 1387.62100
author: Guillaume Chevillon
author: Alain Hecq
author: Sébastien Laurent
published in: Journal of Econometrics
publication date: 2018-04-18T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 26A33
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6861167
zbMATH Keywords: long memory
zbMATH Keywords: vector autoregressive model
zbMATH Keywords: marginalization
zbMATH Keywords: final equation representation
describes a project that uses: ARFIMA
describes a project that uses: longmemo
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.01.002
OpenAlex ID: W2788196454
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DOI: 10.1016/J.JECONOM.2018.01.002
description: scientific article; zbMATH DE number 6861167