Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/80161 
Year of Publication: 
2002
Series/Report no.: 
Working Paper No. 2002-08
Publisher: 
Brown University, Department of Economics, Providence, RI
Abstract: 
It is well-know that estimation by reduced rank regression is given by the solution to a generalized eigenvalue problem. This paper presents a new proof to establish this result and provides additional insight into the structure of the estimation problem. The proof is a direct algebraic proof that some might find more intuitive than existing proofs.
Subjects: 
Reduced Rank Regression
Least Squares Estimation
JEL: 
C3
C32
Document Type: 
Working Paper

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