Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80117
Authors: 
Hansen, Peter Reinhard
Year of Publication: 
2002
Series/Report no.: 
Working Paper, Brown University, Department of Economics 2002-02
Abstract: 
I introduce a technique to estimate parameters in regressions with reduced rank parameters in a general setting. The framework can handle a general class of parameter restrictions and allows for specifications with heteroskedastic and autocorrelated regression errors. Applications of this technique include: estimation of structural equations, estimation of reduced rank matrices in cross-section, panel, and time-series analysis, including estimation of cointegration relations in time series and panels. – Estimation ; Reduced Rank Regression ; FIML, Panel-cointegration, Cointegration with Heteroskedasticity and Autocorrelation
JEL: 
C3
C13
C31
C32
C33
Document Type: 
Working Paper

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