Reduced rank regression with autoregressive errors

DOI10.1016/0304-4076(87)90031-5MaRDI QIDQ579823zbMATH OpenOpenAlexFDO

Authors Raja P. Velu, Gregory C. Reinsel

Publication date 1987

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

Full work available at URL https://doi.org/10.1016/0304-4076(87)90031-5

zbMATH Keywords

reduced rank regressionautoregressive errorsAsymptotic theoryiterative computational procedures

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 3502569 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3047746 (Why is no real title available?)
• Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation of Regression Relationships Containing Unobservable Independent Variables
• Estimation of a Model with Multiple Indicators and Multiple Causes of a Single Latent Variable
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Generalized canonical analysis for time series
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Non-linear regression for multiple time-series
• Nonlinear Regression with Autocorrelated Errors
• On the Limiting Distribution of Roots of a Determinantal Equation
• Reduced rank models for multiple time series
• Reduced-rank regression for the multivariate linear model
• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• The EM Approach to the Multiple Indicators and Multiple Causes Model Via the Estimation of the Latent Variable
• The Lagrangian Multiplier Test

Cited in

(16)

• Reduced-rank regression: a useful determinant identity
• Reduced rank regression with possibly non-smooth criterion functions: an empirical likelihood approach
• Reduced rank models for multiple time series
• Stable reduced-rank VAR identification
• Reduced Rank Models with Two Sets of Regressors
• Specification and misspecification in reduced rank regression
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Model selection criteria for reduced rank multivariate time series: a simulation study
• Multivariate reduced-rank nonlinear time series modeling
• The maximum likelihood estimate in reduced‐rank regression
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components
• Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
• Autoregressive model fitting for multichannel time series of degenerate rank: Limit properties
• Canonical correlation analysis and reduced rank regression in autoregressive models
• Reduced rank regression in cointegrated models.

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