THE APT MODEL AS REDUCED-RANK REGRESSION

Authors
BEKKER P DOBBELSTEIN P WANSBEEK T
Citation
P. Bekker et al., THE APT MODEL AS REDUCED-RANK REGRESSION, Journal of business & economic statistics, 14(2), 1996, pp. 199-202
Citations number
16
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics
Journal title
Journal of business & economic statistics → ACNP
ISSN journal
07350015
Volume
14
Issue
2
Year of publication
1996
Pages
199 - 202
Database
ISI
SICI code
0735-0015(1996)14:2<199:TAMARR>2.0.ZU;2-V
Abstract
Integrating the two steps of an arbitrage pricing theory (APT) model l eads to a reduced-rank regression (RRR) model. So the results on RRR c an be used to estimate APT models, making estimation very simple. We g ive a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general case, and discuss how undersi zed samples (more assets than time periods) can be dealt with.