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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2002-08
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
-
Reduced Rank Regression
Least Squares Estimation
Regression
Schätztheorie
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Hansen, Peter Reinhard
- Event
-
Veröffentlichung
- (who)
-
Brown University, Department of Economics
- (where)
-
Providence, RI
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hansen, Peter Reinhard
- Brown University, Department of Economics
Time of origin
- 2002
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