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Generalized Reduced Rank Regression

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Paper provided by Brown University, Department of Economics in its series Working Papers with number 2002-02.

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Date of creation: 2002
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Handle: RePEc:bro:econwp:2002-02

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Postal: Department of Economics, Brown University, Providence, RI 02912

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  1. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  2. Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 75(1), pages 121-146, November.
  3. Lutkepohl, Helmut & Claessen, Holger, 1997. "Analysis of cointegrated VARMA processes," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 223-239, October.
  4. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(2), pages 295-318, April.
  5. Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001. "Likelihood-based cointegration tests in heterogeneous panels," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 4(1), pages 41.
  6. Costa, Michele & Gardini, Attilio & Paruolo, Paolo, 1997. "A Reduced Rank Regression Approach to Tests of Asset Pricing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 59(1), pages 163-81, February.
  7. Larsson, Rolf & Lyhagen, Johan, 1999. "Likelihood-Based Inference in Multivariate Panel Cointegration Models," Working Paper Series in Economics and Finance, Stockholm School of Economics 331, Stockholm School of Economics.
  8. Velu, Raja P. & Reinsel, Gregory C., 1987. "Reduced rank regression with autoregressive errors," Journal of Econometrics, Elsevier, Elsevier, vol. 35(2-3), pages 317-335, July.
  9. Izenman, Alan Julian, 1975. "Reduced-rank regression for the multivariate linear model," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 5(2), pages 248-264, June.
  10. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, Econometric Society, vol. 70(1), pages 191-221, January.
  11. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 211-244.
  12. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  13. Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, Elsevier, vol. 93(1), pages 73-91, November.
  14. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, Elsevier, vol. 16(1), pages 121-130, May.
  15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  16. Mosconi, Rocco & Giannini, Carlo, 1992. "Non-causality in Cointegrated Systems: Representation Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 54(3), pages 399-417, August.
  17. Oberhofer, W & Kmenta, J, 1974. "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models," Econometrica, Econometric Society, Econometric Society, vol. 42(3), pages 579-90, May.
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Cited by:
  1. Peter Hansen, 2002. "On the Estimation of Reduced Rank Regressions," Working Papers, Brown University, Department of Economics 2002-08, Brown University, Department of Economics.
  2. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers, Brown University, Department of Economics 2000-20, Brown University, Department of Economics.
  3. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
  4. Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers, Department of Economics, City University London 13/08, Department of Economics, City University London.

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