Reduced-Rank Regression: A Useful Determinant Identity

We derive an identity for the determinant of a product involving non-squared matrices. The identity can be used to derive the maximum likelihood estimator in reduced-rank regressions with Gaussian innovations. Furthermore, the identity sheds light on the structure of the estimation problem that arises when the reduced-rank parameters are subject to additional constraints.

MoreLess

Year of publication:	2008-01-15
Authors:	Hansen, Peter Reinhard
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Determinant Identity \| Reduced Rank Regression \| Least Squares

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	1 pages long
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005114131