RRR: Stata module to perform Reduced rank regression

Bang Zheng () and Canqing Yu ()
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Bang Zheng: Department of Epidemiology & Biostatistics, School of Public Health, Peking University
Canqing Yu: Department of Epidemiology & Biostatistics, School of Public Health, Peking University

Statistical Software Components from Boston College Department of Economics

Abstract: rrr executes the reduced rank regression, a multivariate linear regression with the function of dimension reduction. This command is based on the PCA of the OLS predicted vaules for dependent variables. It generates the retained factor scores (i.e., linear combinations of independent variables) from reduced rank regression and saves them as new variables in the dataset.

Language: Stata
Requires: Stata version 9
Keywords: regression; reduced rank (search for similar items in EconPapers)
Date: 2020-12-04
Note: This module should be installed from within Stata by typing "ssc install rrr". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/r/rrr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rrr.sthlp help file (text/plain)

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