The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix
| Contribuinte(s) |
Universitat Pompeu Fabra. Departament d'Economia i Empresa |
|---|---|
| Data(s) |
11/07/2013
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| Resumo |
It is proved the algebraic equality between Jennrich's (1970) asymptotic$X^2$ test for equality of correlation matrices, and a Wald test statisticderived from Neudecker and Wesselman's (1990) expression of theasymptoticvariance matrix of the sample correlation matrix. |
| Identificador | |
| Idioma(s) |
eng |
| Direitos |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons info:eu-repo/semantics/openAccess <a href="http://creativecommons.org/licenses/by-nc-nd/3.0/es/">http://creativecommons.org/licenses/by-nc-nd/3.0/es/</a> |
| Palavras-Chave | #Statistics, Econometrics and Quantitative Methods |
| Tipo |
info:eu-repo/semantics/workingPaper |
