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The multivariate regression model \[ Y_ t=CX_ t+U_ t,\quad U_ t=RU_{t-1}+\epsilon_ t,\quad t=1,2,...,T, \] is considered where \(Y_ t\) is an \(m\times 1\) vector of dependent variables, \(X_ t\) an \(n\times 1\) vector of independent variables, C an \(m\times n\) regression coefficient matrix of lower rank \(r\leq \min (m,n)\), R an \(m\times m\) matrix of unknown parameters with all eigenvalues less than one in absolute value, and \(\epsilon_ t\) are independently distributed random vectors with mean zero and positive definite covariance matrix \(\Sigma_{\epsilon}.\) Two methods of estimation of the component matrices A and B of \(C=AB\) are discussed subject to the normalization conditions \(A'\Gamma A=I_ r\), \(B(xx'/T)B'=\Lambda^ 2\), where \(\Gamma ={\tilde \Sigma}_{\epsilon}^{-1}\), \({\tilde \Sigma}_{\epsilon}\) being the sample covariance matrix of the residuals \({\tilde \epsilon}_ t\). Asymptotic theory and iterative computational procedures for the two estimators are also presented. | |||
Property / review text: The multivariate regression model \[ Y_ t=CX_ t+U_ t,\quad U_ t=RU_{t-1}+\epsilon_ t,\quad t=1,2,...,T, \] is considered where \(Y_ t\) is an \(m\times 1\) vector of dependent variables, \(X_ t\) an \(n\times 1\) vector of independent variables, C an \(m\times n\) regression coefficient matrix of lower rank \(r\leq \min (m,n)\), R an \(m\times m\) matrix of unknown parameters with all eigenvalues less than one in absolute value, and \(\epsilon_ t\) are independently distributed random vectors with mean zero and positive definite covariance matrix \(\Sigma_{\epsilon}.\) Two methods of estimation of the component matrices A and B of \(C=AB\) are discussed subject to the normalization conditions \(A'\Gamma A=I_ r\), \(B(xx'/T)B'=\Lambda^ 2\), where \(\Gamma ={\tilde \Sigma}_{\epsilon}^{-1}\), \({\tilde \Sigma}_{\epsilon}\) being the sample covariance matrix of the residuals \({\tilde \epsilon}_ t\). Asymptotic theory and iterative computational procedures for the two estimators are also presented. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62J05 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 4016008 / rank | |||
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Property / zbMATH Keywords | |||
reduced rank regression | |||
Property / zbMATH Keywords: reduced rank regression / rank | |||
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Property / zbMATH Keywords | |||
autoregressive errors | |||
Property / zbMATH Keywords: autoregressive errors / rank | |||
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Asymptotic theory | |||
Property / zbMATH Keywords: Asymptotic theory / rank | |||
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iterative computational procedures | |||
Property / zbMATH Keywords: iterative computational procedures / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0304-4076(87)90031-5 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2061628496 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 11:13, 18 June 2024
scientific article
Language | Label | Description | Also known as |
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English | Reduced rank regression with autoregressive errors |
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Reduced rank regression with autoregressive errors (English)
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1987
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The multivariate regression model \[ Y_ t=CX_ t+U_ t,\quad U_ t=RU_{t-1}+\epsilon_ t,\quad t=1,2,...,T, \] is considered where \(Y_ t\) is an \(m\times 1\) vector of dependent variables, \(X_ t\) an \(n\times 1\) vector of independent variables, C an \(m\times n\) regression coefficient matrix of lower rank \(r\leq \min (m,n)\), R an \(m\times m\) matrix of unknown parameters with all eigenvalues less than one in absolute value, and \(\epsilon_ t\) are independently distributed random vectors with mean zero and positive definite covariance matrix \(\Sigma_{\epsilon}.\) Two methods of estimation of the component matrices A and B of \(C=AB\) are discussed subject to the normalization conditions \(A'\Gamma A=I_ r\), \(B(xx'/T)B'=\Lambda^ 2\), where \(\Gamma ={\tilde \Sigma}_{\epsilon}^{-1}\), \({\tilde \Sigma}_{\epsilon}\) being the sample covariance matrix of the residuals \({\tilde \epsilon}_ t\). Asymptotic theory and iterative computational procedures for the two estimators are also presented.
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reduced rank regression
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autoregressive errors
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Asymptotic theory
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iterative computational procedures
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