Bekker, Paul; Dobbelstein, Pascal; Wansbeek, Tom - In: Journal of Business & Economic Statistics 14 (1996) 2, pp. 199-202
Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. The authors give a succinct derivation of estimation of RRR, derive the asymptotic...