Seemingly unrelated reduced-rank regression model

Abstract Reduced-rank regression models proposed by Anderson [1951. Estimating linear restrictions on regression coefficients for multivariate normal distributions. Ann. Math. Statist. 22, 327–351] have been used in various applications in social and natural sciences. In this paper we combine the features of these models with another popular, seemingly unrelated regression model proposed by Zellner [1962. An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. J. Amer. Statist. Assoc. 57, 348–368]. In addition to estimation and inference aspects of the new model, we also discuss an application in the area of marketing.