The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Reduced Rank Regression

  • Søren Johansen
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2682

Abstract

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.

Keywords

Instrumental variable estimation Limited information maximum likelihood Maximum likelihood Reduced rank regression 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Søren Johansen
    • 1
  1. 1.