Reduced rank regression with autoregressive errors
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Publication:579823
DOI10.1016/0304-4076(87)90031-5zbMath0625.62108OpenAlexW2061628496MaRDI QIDQ579823
Raja P. Velu, Gregory C. Reinsel
Publication date: 1987
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(87)90031-5
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)
Related Items (3)
Reduced-rank regression: a useful determinant identity ⋮ Model selection criteria for reduced rank multivariate time series: a simulation study ⋮ Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
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