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
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Authors: | Neudecker, Heinz ; Satorra, Albert |
Institutions: | Department of Economics and Business, Universitat Pompeu Fabra |
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