Original language | English |
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Title of host publication | The New Palgrave Dictionary of Economics |
Editors | Steven N. Durlauf, Lawrence E. Blume |
Number of pages | 7 |
Publisher | Palgrave Macmillan |
Publication date | 2008 |
Edition | 2 |
ISBN (Print) | 9780333786765 |
DOIs | |
Publication status | Published - 2008 |
Reduced Rank Regression
Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
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
ID: 9226573