On the Estimation of Reduced Rank Regressions
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|Date of creation:||2002|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, Brown University, Providence, RI 02912|
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- Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics.
- 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.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- 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.
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