Reduced-Rank Regression: A Useful Determinant Identity

Peter Hansen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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 (search for similar items in EconPapers)
JEL-codes: C3 C32 (search for similar items in EconPapers)
Pages: 13
Date: 2008-01-15
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-02

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