Reduced Rank Regression
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Reduced Rank Regression. / Johansen, Søren.
The New Palgrave Dictionary of Economics. ed. / Steven N. Durlauf; Lawrence E. Blume. 2. ed. Palgrave Macmillan, 2008.Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
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TY - ENCYC
T1 - Reduced Rank Regression
AU - Johansen, Søren
PY - 2008
Y1 - 2008
N2 - The reduced rank regression model is a multivariate regression model with a coefficient matrix with reduced rank. The reduced rank regression algorithm is an estimation procedure, which estimates the reduced rank regression model. It is related to canonical correlations and involves calculating eigenvalues and eigenvectors. We give a number of different applications to regression and time series analysis, and show how the reduced rank regression estimator can be derived as a Gaussian maximum likelihood estimator. We briefly mention asymptotic results
AB - The reduced rank regression model is a multivariate regression model with a coefficient matrix with reduced rank. The reduced rank regression algorithm is an estimation procedure, which estimates the reduced rank regression model. It is related to canonical correlations and involves calculating eigenvalues and eigenvectors. We give a number of different applications to regression and time series analysis, and show how the reduced rank regression estimator can be derived as a Gaussian maximum likelihood estimator. We briefly mention asymptotic results
U2 - 10.1057/9780230226203.1410
DO - 10.1057/9780230226203.1410
M3 - Encyclopedia chapter
SN - 9780333786765
BT - The New Palgrave Dictionary of Economics
A2 - Durlauf, Steven N.
A2 - Blume, Lawrence E.
PB - Palgrave Macmillan
ER -
ID: 9226573