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RRR: Stata module to perform Reduced rank regression

Author

Listed:
  • Bang Zheng

    (Department of Epidemiology & Biostatistics, School of Public Health, Peking University
    School of Public Health, Imperial College)

  • Canqing Yu

    (Department of Epidemiology & Biostatistics, School of Public Health, Peking University)

Programming Language

Stata

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.

Suggested Citation

  • Bang Zheng & Canqing Yu, 2020. "RRR: Stata module to perform Reduced rank regression," Statistical Software Components S458882, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458882
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/rrr.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/rrr.sthlp
    File Function: help file
    Download Restriction: no
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    More about this item

    Keywords

    regression; reduced rank; Stata;
    All these keywords.

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