|
|
|
|
||||
|
||||
Reduced-Rank Regression: A Useful Determinant IdentityPeter Reinhard HansenEuropean University Institute - Economics Department (ECO); University of Aarhus - CREATES January 15, 2008 CREATES Research Paper 2008-2 Abstract: 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 working papers seriesDate posted: June 19, 2008Suggested CitationContact Information
|
|
|||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo1 in 0.296 seconds
