The APT Model as Reduced-Rank Regression.

Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. The authors give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general cause, and discuss how undersized samples (more assets than time periods) can be dealt with.

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Year of publication:	1996
Authors:	Bekker, Paul ; Dobbelstein, Pascal ; Wansbeek, Tom
Published in:	Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 14.1996, 2, p. 199-202
Publisher:	American Statistical Association

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005430153