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.

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Year of publication:	2002
Authors:	Hansen, Peter Reinhard
Publisher:	Providence, RI : Brown University, Department of Economics
Subject:	Regression \| Schätztheorie \| Theorie \| Reduced Rank Regression \| Least Squares Estimation

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Series:	Working Paper ; 2002-08
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	345693604 [GVK] hdl:10419/80161 [Handle]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010318930