The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

Heinz Neudecker and Albert Satorra

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

Abstract: It is proved the algebraic equality between Jennrich's (1970) asymptotic $X^2$ test for equality of correlation matrices, and a Wald test statistic derived from Neudecker and Wesselman's (1990) expression of the asymptotic variance matrix of the sample correlation matrix.

Date: 1995-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://econ-papers.upf.edu/papers/131.pdf Whole Paper (application/pdf)

Related works:
Journal Article: The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix (1996)
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:131

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 ).