JSM 2003 Online Program

Abstract #300057

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Activity Number:	274
Type:	Invited
Date/Time:	Tuesday, August 5, 2003 : 2:00 PM to 3:50 PM
Sponsor:	Business & Economics Statistics Section
Abstract - #300057
Title:	Generalized Reduced-Rank Regression
Author(s):	Peter R. Hansen*+
Companies:	Brown University
Address:	Brown University, Providence, RI, 02912-0001,
Keywords:	Reduced Rank Regression ; Estimation ; FIML ; Cointegration with Heteroskedasticity and Autocorrelation
Abstract:	We 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 heteroscedastic and autocorrelated regression errors. Applications of this technique include: estimation of structural equations, estimation of reduced rank matrices in cross-section, and panel and time-series analysis, including estimation of cointegration relations in time series and panels.

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