Reduced rank regression for blocks of simultaneous equations

DOI10.1016/j.jeconom.2005.07.028zbMath1418.62265OpenAlexW2051372175MaRDI QIDQ291844

T. W. Anderson

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.028

zbMATH Keywords

confidence regions for restrictionsestimation of restricted regressionsidentification of blocks of equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (1)

Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*

Cites Work

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• Origins of the limited information maximum likelihood and two-stage least squares estimators
• Reduced-rank regression for the multivariate linear model
• Canonical Correlation and Multiple Equation Systems in Economics
• An Alternative Proof of Hannan's Theorem on Canonical Correlation and Multiple Equation Systems
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

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