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

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.
Year of publication:
1995-04
Authors: Neudecker, Heinz ; Satorra, Albert
Institutions: Department of Economics and Business, Universitat Pompeu Fabra
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005707982
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