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Reduced-Rank Regression: A Useful Determinant Identity

Peter Reinhard Hansen

European University Institute - Economics Department (ECO); University of Aarhus - CREATES

January 15, 2008

CREATES Research Paper 2008-2

We derive an identity for the determinant of a product involving non-squared matrices. The identity can be used to derive the maximum likelihood estimator in reduced-rank regressions with Gaussian innovations. Furthermore, the identity sheds light on the structure of the estimation problem that arises when the reduced-rank parameters are subject to additional constraints.

Number of Pages in PDF File: 15

Keywords: Determinant Identity, Reduced Rank Regression, Least Squares

JEL Classification: C3, C32

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Date posted: June 19, 2008  

Suggested Citation

Hansen, Peter Reinhard, Reduced-Rank Regression: A Useful Determinant Identity (January 15, 2008). CREATES Research Paper 2008-2. Available at SSRN: http://ssrn.com/abstract=1148127 or http://dx.doi.org/10.2139/ssrn.1148127

Contact Information

Peter Reinhard Hansen (Contact Author)
European University Institute - Economics Department (ECO) ( email )
Villa San Paolo
Via della Piazzuola 43
50133 Florence
University of Aarhus - CREATES ( email )
School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
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