Testing for the equality of several correlation matrices

In this paper we obtain the Wald statistic for the test of the equality of correlation matrices. Simulation results indicate that, in most cases involving small sample sizes, this test yields actual significance levels closer to the nominal significance level than does the likelihood ratio test.

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Year of publication:	1996
Authors:	Schott, James R.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 27.1996, 1, p. 85-89
Publisher:	Elsevier
Subject:	Significance level Wald statistic

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313926