In the area of multivariate analysis, there are two broad themes that have emerged over time. The analysis typically involves exploring the variations in a set of interrelated variables or investigating the simultaneous relation- ships between two or more sets of variables. In either case, the themes involve explicit modeling of the relationships or dimension-reduction of the sets of variables. The multivariate regression methodology and its variants are the preferred tools for the parametric modeling and descriptive tools such as principal components or canonical correlations are the tools used for addressing the dimension-reduction issues. Both act as complementary to each other and data analysts typically want to make use of these tools for a thorough analysis of multivariate data. A technique that combines the two broad themes in a natural fashion is the method of reduced-rank regres- sion. This method starts with the classical multivariate regression model framework but recognizes the possibility for the reduction in the number of parameters through a restrietion on the rank of the regression coefficient matrix. This feature is attractive because regression methods, whether they are in the context of a single response variable or in the context of several response variables, are popular statistical tools. The technique of reduced- rank regression and its encompassing features are the primary focus of this book. The book develops the method of reduced-rank regression starting from the classical multivariate linear regression model.
1 Multivariate Linear Regression 1
2 Reduced-Rank Regression Model 15
3 Reduced-Rank Regression Models With Two Sets of Regressors 57
4 Reduced-Rank Regression Model With Autoregressive Errors 93
5 Multiple Time Series Modeling With Reduced Ranks 113
6 The Growth Curve Model and Reduced-Rank Regression Methods 155
7 Seemingly Unrelated Regressions Models With Reduced Ranks 189
8 Applications of Reduced-Rank Regression in Financial Economics 213
9 Alternate Procedures for Analysis of Multivariate Regression Models 225
Appendix 232
References 235
Subject Index 251
Author Index 255
