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Reduced-Rank Regression: A Useful Determinant Identity

CREATES Research Paper 2008-2

15 Pages Posted: 19 Jun 2008  

Peter Reinhard Hansen

University of North Carolina (UNC) at Chapel Hill - Department of Economics; University of Aarhus - CREATES

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Date Written: January 15, 2008

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.

Keywords: Determinant Identity, Reduced Rank Regression, Least Squares

JEL Classification: C3, C32

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

Peter Reinhard Hansen (Contact Author)

University of Aarhus - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Chapel Hill, NC 27599
United States

HOME PAGE: http://https://sites.google.com/site/peterreinhardhansen/

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