CREATES Research Paper 2008-2
15 Pages Posted: 19 Jun 2008
Date Written: January 15, 2008
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.
Keywords: Determinant Identity, Reduced Rank Regression, Least Squares
JEL Classification: C3, C32
Suggested Citation: Suggested Citation
Hansen, Peter Reinhard, Reduced-Rank Regression: A Useful Determinant Identity (January 15, 2008). CREATES Research Paper 2008-2. Available at SSRN: https://ssrn.com/abstract=1148127 or http://dx.doi.org/10.2139/ssrn.1148127