Seemingly unrelated reduced-rank regression model

Raja Velu, Joseph Richards

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

Reduced-rank regression models proposed by Anderson [1951. Estimating linear restrictions on regression coefficients for multivariate normal distributions. Ann. Math. Statist. 22, 327-351] have been used in various applications in social and natural sciences. In this paper we combine the features of these models with another popular, seemingly unrelated regression model proposed by Zellner [1962. An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. J. Amer. Statist. Assoc. 57, 348-368]. In addition to estimation and inference aspects of the new model, we also discuss an application in the area of marketing.

Original languageEnglish (US)
Pages (from-to)2837-2846
Number of pages10
JournalJournal of Statistical Planning and Inference
Volume138
Issue number9
DOIs
StatePublished - Sep 1 2008

Keywords

  • Canonical analysis
  • Multivariate regression
  • Reduced-rank model
  • Seemingly unrelated regression

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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