Econometrica: Apr 1959, Volume 27, Issue 2
Simultaneous Equations and Canonical Correlation Theory
John W. HooperThis paper uses a topic from multivariate analysis, i.e., canonical correlation theory, in the development of a generalized correlation coefficient for simultaneous equation systems. Canonical correlation theory within the framework of simultaneous equations is first presented and then the generalized correlation coefficient (the trace correlation) is developed from these results. The asymptotic variances of this static are presented and an application to a simultaneous equation system is given.
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