On the estimation of reduced rank regressions

descriptionPublicationkeyboard_double_arrow_right Research , Preprint 01 Jan 2002 English Publisher:Providence, RI: Brown University, Department of Economics

Authors: Peter Hansen;

handle: 10419/80161

On the estimation of reduced rank regressions

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Abstract

It is well-know that estimation by reduced rank regression is given by the solution to a generalized eigenvalue problem. This paper presents a new proof to establish this result and provides additional insight into the structure of the estimation problem. The proof is a direct algebraic proof that some might find more intuitive than existing proofs.

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Keywords

Reduced Rank Regression, ddc:330, Schätztheorie, C3, C32, Regression, Theorie, Least Squares Estimation

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