Generating univariate fractional integration within a large VAR(1)
Guillaume Chevillon, Alain Hecq, Sébastien Laurent
| Year of publication: |
May 2018
|
|---|---|
| Authors: | Chevillon, Guillaume ; Hecq, Alain W. J. ; Laurent, Sébastien |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 204.2018, 1, p. 54-65
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| Subject: | Long memory | Vector autoregressive model | Marginalization | Final equation representation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974715