Arbeitspapier
On the estimation of reduced rank regressions
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2002-08
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Reduced Rank Regression
Least Squares Estimation
Regression
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hansen, Peter Reinhard
- Ereignis
-
Veröffentlichung
- (wer)
-
Brown University, Department of Economics
- (wo)
-
Providence, RI
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hansen, Peter Reinhard
- Brown University, Department of Economics
Entstanden
- 2002
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