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

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Year of publication:	2008
Authors:	Hansen, Peter Reinhard
Publisher:	[S.l.] : SSRN
Subject:	Regressionsanalyse \| Regression analysis \| Schätztheorie \| Estimation theory \| Persönlichkeitspsychologie \| Personality psychology

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.329581 [DOI]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014109665