Compact matrix expressions for generalized Wald tests of equality of moment vectors

Albert Satorra and Heinz Neudecker

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: Asymptotic chi-squared test statistics for testing the equality of moment vectors are developed. The test statistics proposed are generalized Wald test statistics that specialize for different settings by inserting and appropriate asymptotic variance matrix of sample moments. Scaled test statistics are also considered for dealing with situations of non-iid sampling. The specialization will be carried out for testing the equality of multinomial populations, and the equality of variance and correlation matrices for both normal and non-normal data. When testing the equality of correlation matrices, a scaled version of the normal theory chi-squared statistic is proven to be an asymptotically exact chi-squared statistic in the case of elliptical data.

Date: 1995-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econ-papers.upf.edu/papers/127.pdf Whole Paper (application/pdf)

Related works:
Journal Article: Compact Matrix Expressions for Generalized Wald Tests of Equality of Moment Vectors (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:127

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).