Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

By Theodore W. Anderson. 1951

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Citations in the corpus

Autoregressive models for matrix-valued time series (2018, methodology): “If we fix one of A and B and consider the other as the parameter, the model can be viewed as a reduced rank regression (Anderson, 1951; Izenman, 1975).”
Structural changes in the cointegrated vector autoregressive model (2003, methodology): “Hall, Anderson, and Granger (1992) and Engsted and Tanggaard (1994) attributed their rejection to the unstable period for interest rates between September 1979 and October 1982, when the Fed did not target short interest rates directly.”
Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend (2000, methodology): “For the suggested model the likelihood function can be maximized using canonical correlation methods as developed by Hotelling (1936), Bartlett (1938), Anderson (1951), and implemented in cointegration analysis by Johansen (1996, Ch.”
Reduced rank stochastic regression with a sparse singular value decomposition (2012, methodology): “This type of model formation was first suggested in the seminal work of Anderson (1951) and was studied by Reinsel and Velu (1998), chapter 3, under the classical least squares setting.”
A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model (2002, methodology): “Under the assumption of Gaussian errors, the derivation of the likelihood ratio LR test for the hypothesis = ′ and = ′, the so-called trace test, and the estimation of the parameters are performed by the technique of reduced rank regression (see Anderson (1951)).”
Identification Issues in Forward-Looking Models Estimated by GMM, with an Application to the Phillips Curve (2005, methodology): “serially uncorrelated, this could be tested using, say, the canonical correlations rank test of Anderson (1951). Here, Vt in equation (14) is serially correlated, and potentially heteroscedastic, so we apply a generalized reduced rank test proposed by Kleibergen and Paap (2003), the rk-statistic, us”
LONG-RUN STRUCTURAL MODELLING (2002, methodology): “(27)The most general dynamic model used is by Anderson and Blundell (1983), which is a VAR(1) in budget shares, and is estimated assuming exogenously given prices and per capita real expenditures.”
The Econometrics of Macroeconomic Modelling (2005, methodology): “By adopting limited information maximum likelihood methods, one could estimate the parameters of one equation, while leaving the parameters of other equations unrestricted, see Anderson and Rubin (1949)10 and Koopmans and Hood (1953).”
Getting It Right (2004, methodology): “That article proposed posterior simulators for a Bayesian treatment of the reduced-rank regression model, first introduced by Anderson (1951) and used subsequently in such diverse applications as simultaneous equation estimation (Dreze 1976), inference for cointegrated time series (Johansen 1988), a”
A Model-Free Test for Reduced Rank in Multivariate Regression (2003, background): “Asymptotic distributions of estimators of B and asymptotic rank tests are available when ± is normally distributed (Anderson 1951; Izenman 1975;Reinsel and Velu 1998; Schmidli 1996).”
Modern Multivariate Statistical Techniques: Regression, Classification, and Manifold Learning (2008, unknown): “The 24 psychological tests are as follows: (1) visual perception, (2) cubes, (3) paper form board, (4) flags, (5) general information, (6) paragraph comprehension, (7) sentence completion, (8) word classification, (9) word meaning, (10) addition, (11) code, (12) counting dots, (13) straight-curved c”
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010, methodology): “For fixed ψ = (d, b) the MLE based on (23) is found by reduced rank regression of Xkt on X−1,t corrected for {Xit} i=0 , see Anderson (1951) or Johansen (1996).”
Envelopes and reduced-rank regression (2015, background): “In the left plot 404 (d, u, p, r) = (1, 10, 10, 20).”
Automating the Selection of Model-Implied Instrumental Variables (2004, background): “Other tests are available as well (e.g., Anderson 1951; Anderson and Rubin 1949; Sargan 1958).”