Reduced Rank Models with Two Sets of Regressors

Raja P. Velu

Journal of the Royal Statistical Society Series C, 1991, vol. 40, issue 1, 159-170

Abstract: Interest has been growing in the use and extensions of multivariate reduced rank regression procedures in applied research and data modelling. This paper considers an extension of the model proposed by Anderson. Asymptotic theory and an iterative computational procedure for the relevant estimators of the extended model are briefly discussed. to illustrate these methods, ozone data collected in Europe are considered.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:40:y:1991:i:1:p:159-170

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