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A Model-Free Test for Reduced Rank in Multivariate Regression

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  • Cook R.D.
  • Setodji C.M.
Abstract
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  • Cook R.D. & Setodji C.M., 2003. "A Model-Free Test for Reduced Rank in Multivariate Regression," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 340-351, January.
    • Handle: RePEc:bes:jnlasa:v:98:y:2003:p:340-351
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    Cited by:

    1. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    2. Heng-Hui Lue, 2010. "On principal Hessian directions for multivariate response regressions," Computational Statistics, Springer, vol. 25(4), pages 619-632, December.

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