Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80161
Authors: 
Hansen, Peter Reinhard
Year of Publication: 
2002
Series/Report no.: 
Working Paper, Brown University, Department of Economics 2002-08
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

Files in This Item:
File
Size
200.24 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.