ABSTRACT
Given a sample Yo.Y1,. . .YT . the least squares estimator of B is (20.2.6) with S Y X and S X X replaced by T-lCt=,YtY~_, and T-' xTX1 Yt-lYI-,, respectively. The residuals and the estimator of C z z are given by (20.2.7) and (20.2.8) with Xi replaced by Yt-l . The canonical analysis and reduced rank regression estimator B k are as described in Section 20.4 with the obvious changes.
