Q: What is RRR?
A: RRR.ox and RRR.h are files for a program for estimating Reduced Rank Regressions.
Q: How do I run RRR?
A: To run RRR interactively you need both OxMetrics and Ox Professional.
You can also run RRR as a part of Ox Professional.
Q: What sort of systems does RRR estimate?
A: Consider the system Y_t = \Pi R_t + \Gamma U_t + error, where Y_t, R_t and U_t are vectors of
endogenous variables (Y_t), restricted exogenous variables (R_t) and unrestricted exogenous
variables (U_t). RRR can be used to test for reduced rank on the coefficient matrix \Pi
in this system.
Q: Does there exixt an example file for how to use RRR by commando line?
A: Yes, see "CoNonLinearity.ox". This program estimates all the reduced rank regressions in
"Testing for co-nonlinearity by H. Hungnes, forthcoming in Studies in Nonlinear Dynamics &
Econometrics (SNDE).
"Testing for co-nonlinearity", forthcomming in Studies in Nonlinear Dynamics & Econometrics. [Discussion Paper version]