A ridge-regularized Generalized Covariance estimator is proposed for high-dimensional mixed causal-noncausal VAR models, with asymptotic normality and chi-square tests when the shrinkage goes to zero.
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Regularized Generalized Covariance (RGCov) Estimator
A ridge-regularized Generalized Covariance estimator is proposed for high-dimensional mixed causal-noncausal VAR models, with asymptotic normality and chi-square tests when the shrinkage goes to zero.