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Reduced rank regression with autoregressive errors

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  • Velu, Raja P.
  • Reinsel, Gregory C.

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  • 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.
    • Handle: RePEc:eee:econom:v:35:y:1987:i:2-3:p:317-335
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    Cited by:

    1. Peter Hansen, 2002. "On the Estimation of Reduced Rank Regressions," Working Papers 2002-08, Brown University, Department of Economics.
    2. Zhou, Guofu, 1995. "Small sample rank tests with applications to asset pricing," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 71-93, March.
    3. Burkett, John P., 1998. "Bureaucratic behavior modeled by reduced-rank regression: The case of expenditures from the Soviet state budget," Journal of Economic Behavior & Organization, Elsevier, vol. 34(1), pages 173-187, January.
    4. Peter Reinhard Hansen, 2008. "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers 2008-02, Department of Economics and Business Economics, Aarhus University.
    5. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics.

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