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


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  • Neudecker, Heinz
  • Satorra, Albert


We proved the algebraic equality between Jennrich's (1970) asymptotic [chi]2 test for equality of correlation matrices, and a Wald test statistic derived from the Neudecker and Wesselman (1990) expression of the asymptotic variance matrix of the sample correlation matrix.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 30 (1996)
Issue (Month): 2 (October)
Pages: 99-103

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Handle: RePEc:eee:stapro:v:30:y:1996:i:2:p:99-103

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Keywords: Asymptotic [chi]2 test Correlation matrix Multivariate normal distribution Wald test;

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  1. Kollo, T. & Neudecker, H., 1993. "Asymptotics of Eigenvalues and Unit-Length Eigenvectors of Sample Variance and Correlation Matrices," Journal of Multivariate Analysis, Elsevier, vol. 47(2), pages 283-300, November.
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Cited by:
  1. Albert Satorra & Heinz Neudecker, 1995. "Compact matrix expressions for generalized Wald tests of equality of moment vectors," Economics Working Papers 127, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Kentaro Hayashi & Akihito Kamata, 2005. "A note on the estimator of the alpha coefficient for standardized variables under normality," Psychometrika, Springer, vol. 70(3), pages 579-586, September.


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