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
Date posted: June 19, 2008
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