Positive Definiteness of the Asymptotic Covariance Matrix of OLS Estimators in Parsimonious Regressions; Comments on ’Testing a Large Set of Zero Restrictions in Regression Models, With an Application to Mixed Frequency Granger Causality’ by Ghysels, Hill, and Motegi (2020)

2020 ◽  
Author(s):  
Daisuke Nagakura
Keyword(s):  
Granger Causality ◽  
Covariance Matrix ◽  
Regression Models ◽  
Positive Definiteness ◽  
Large Set ◽  
Asymptotic Covariance Matrix ◽  
Mixed Frequency ◽  
Asymptotic Covariance

Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality

2020 ◽  
Vol 218 (2) ◽  
pp. 633-654 ◽  
Author(s):  
Eric Ghysels ◽  
Jonathan B. Hill ◽  
Kaiji Motegi
Keyword(s):  
Granger Causality ◽  
Regression Models ◽  
Large Set ◽  
Mixed Frequency

The asymptotic covariance matrix of the QMLE in ARMA models

2016 ◽  
Vol 37 (4) ◽  
pp. 309-324 ◽  
Author(s):  
Yong Bao
Keyword(s):  
Covariance Matrix ◽  
Asymptotic Covariance Matrix ◽  
Arma Models ◽  
Asymptotic Covariance
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