A reduced rank regression approach to tests of asset pricing

Article Abstract:

The research developed prototypes from k factor models for asset return and linear specification for the relations between observable factors and macroeconomic indicators. The developed prototypes can be outlined in the reduced rank regression model where the maximum likelihood problem is addressed through canonical correlation analysis. The study considered data from the Milan Stock Exchange to utilize the tests.

Securities and Commodity Exchanges, Security and commodity exchanges, Economics, Research and Development in the Social Sciences and Humanities, Misc Stock Exchanges, Research, Analysis, Stock exchanges, Financial markets, Factor analysis, Discriminant analysis, Macroeconomics, Capital assets pricing model, Capital asset pricing model

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The coefficient of determination for a regression model based on group data

Article Abstract:

A coefficient of determination can be calculated to derive a goodness-of-fit measure more appropriate than that in the commonly used formula put forth by Kmenta. This is proven by estimating for an Engel curve using group data from the National Sample Survey on Consumer Expenditure conducted in rural India in 1983.

Noncommercial research organizations

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Seemingly unrelated negative binomial regression

Article Abstract:

Unrelated over-dispersions and outcomes, with economic applications, with negative binomial regression analysis is discussed.

Statistical Data Included, Binomial coefficients, Binomial distribution

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