Reduced rank regression for blocks of simultaneous equations

DOI10.1016/J.JECONOM.2005.07.028MaRDI QIDQ291844zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 3062534 (Why is no real title available?)
• An Alternative Proof of Hannan's Theorem on Canonical Correlation and Multiple Equation Systems
• Canonical Correlation and Multiple Equation Systems in Economics
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Origins of the limited information maximum likelihood and two-stage least squares estimators
• Reduced-rank regression for the multivariate linear model
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

Cited in

(10)

• Exact rational expectations, cointegration, and reduced rank regression
• Reduced-rank regression: a useful determinant identity
• Reduced rank regression with autoregressive errors
• Reduced form estimation and prediction from uncertain structural models. A generic approach
• On the Nature and Number of the Constraints on the Reduced Form as Implied by the Structural Form
• The maximum likelihood estimate in reduced‐rank regression
• scientific article; zbMATH DE number 6159444 (Why is no real title available?)
• Two reduced-form approaches to the derivation of the maximum-likelihood estimators for simultaneous-equation systems
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
• Canonical correlation analysis and reduced rank regression in autoregressive models

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