Reduced Rank Regression

Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Forskning

Standard

Reduced Rank Regression. / Johansen, Søren.

The New Palgrave Dictionary of Economics. red. / Steven N. Durlauf; Lawrence E. Blume. 2. udg. Palgrave Macmillan, 2008.

Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Forskning

Harvard

Johansen, S 2008, Reduced Rank Regression. i SN Durlauf & LE Blume (red), The New Palgrave Dictionary of Economics. 2 udg, Palgrave Macmillan. https://doi.org/10.1057/9780230226203.1410

APA

Johansen, S. (2008). Reduced Rank Regression. I S. N. Durlauf, & L. E. Blume (red.), The New Palgrave Dictionary of Economics (2 udg.). Palgrave Macmillan. https://doi.org/10.1057/9780230226203.1410

Vancouver

Johansen S. Reduced Rank Regression. I Durlauf SN, Blume LE, red., The New Palgrave Dictionary of Economics. 2 udg. Palgrave Macmillan. 2008 https://doi.org/10.1057/9780230226203.1410

Author

Johansen, Søren. / Reduced Rank Regression. The New Palgrave Dictionary of Economics. red. / Steven N. Durlauf ; Lawrence E. Blume. 2. udg. Palgrave Macmillan, 2008.

Bibtex

@inbook{cfa538c0cd1211dd9473000ea68e967b,
title = "Reduced Rank Regression",
abstract = "The reduced rank regression model is a multivariate regression model with a coefficient matrix with reduced rank. The reduced rank regression algorithm is an estimation procedure, which estimates the reduced rank regression model. It is related to canonical correlations and involves calculating eigenvalues and eigenvectors. We give a number of different applications to regression and time series analysis, and show how the reduced rank regression estimator can be derived as a Gaussian maximum likelihood estimator. We briefly mention asymptotic results",
author = "S{\o}ren Johansen",
year = "2008",
doi = "10.1057/9780230226203.1410",
language = "English",
isbn = "9780333786765",
editor = "Durlauf, {Steven N.} and Blume, {Lawrence E.}",
booktitle = "The New Palgrave Dictionary of Economics",
publisher = "Palgrave Macmillan",
address = "United Kingdom",
edition = "2",

}

RIS

TY - ENCYC

T1 - Reduced Rank Regression

AU - Johansen, Søren

PY - 2008

Y1 - 2008

N2 - The reduced rank regression model is a multivariate regression model with a coefficient matrix with reduced rank. The reduced rank regression algorithm is an estimation procedure, which estimates the reduced rank regression model. It is related to canonical correlations and involves calculating eigenvalues and eigenvectors. We give a number of different applications to regression and time series analysis, and show how the reduced rank regression estimator can be derived as a Gaussian maximum likelihood estimator. We briefly mention asymptotic results

AB - The reduced rank regression model is a multivariate regression model with a coefficient matrix with reduced rank. The reduced rank regression algorithm is an estimation procedure, which estimates the reduced rank regression model. It is related to canonical correlations and involves calculating eigenvalues and eigenvectors. We give a number of different applications to regression and time series analysis, and show how the reduced rank regression estimator can be derived as a Gaussian maximum likelihood estimator. We briefly mention asymptotic results

U2 - 10.1057/9780230226203.1410

DO - 10.1057/9780230226203.1410

M3 - Encyclopedia chapter

SN - 9780333786765

BT - The New Palgrave Dictionary of Economics

A2 - Durlauf, Steven N.

A2 - Blume, Lawrence E.

PB - Palgrave Macmillan

ER -

ID: 9226573