Multivariate Reduced-Rank Regression: Theory and Applications

by Raja Velu, Gregory C. Reinsel

1 Multivariate Linear Regression.- 2 Reduced-Rank Regression Model.- 3 Reduced-Rank Regression Models With Two Sets of Regressors.- 4 Reduced-Rank Regression Model With Autoregressive Errors.- 5 Multiple Time Series Modeling With Reduced Ranks.- 6 The Growth Curve Model and Reduced-Rank Regression Methods.- 7 Seemingly Unrelated Regressions Models With Reduced Ranks.- 8 Applications of Reduced-Rank Regression in Financial Economics.- 9 Alternate Procedures for Analysis of Multivariate Regression Models.- References.- Author Index.

276 pages, Paperback

First published September 18, 1998