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On the Estimation of Reduced Rank Regressions

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Peter Hansen

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Paper provided by Brown University, Department of Economics in its series Working Papers with number 2002-08.

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Date of creation: 2002
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Handle: RePEc:bro:econwp:2002-08

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

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  1. 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, vol. 53(1-3), pages 211-244. [Downloadable!] (restricted)
  2. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]
  3. Velu, Raja P. & Reinsel, Gregory C., 1987. "Reduced rank regression with autoregressive errors," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 317-335, July. [Downloadable!] (restricted)
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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