Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example

DOI10.1016/j.jmva.2005.10.002zbMath1086.62069OpenAlexW2172060350MaRDI QIDQ2489494

Scott Gilbert, Petr Zemčík

Publication date: 28 April 2006

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://opensiuc.lib.siu.edu/econ_dp/21

zbMATH Keywords

RegressionAsymptotic theoryCoefficient matrixMultivariate modelReduced-rank

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

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