Br1zr
Br2zr
Br1zr
1
2
where E = E
= 0, Var =
Yj =
, =
Yjm
jm
be the responses and errors for the jth trial. Thus we
have an n x (r + 1) design matrix
z10
z
20
Z =
zn0
z11
z21
zn1
z1r
z2r
znr
If we now set
Y11
Y
21
Y =
Yn1
Y12
Y22
Yn2
Y1m
Y2m
= Y1  Y 2   Y m
Ynm
01
11
=
r1
02
12
r2
0m
1m
= 1  2   m
rm
11
21
=
n1
12
22
n2
1m
2m
=
 2
1
nm
'1
'
2
  m =
'
m
with
Y = Z +
E i = 0
and
Note also that the m observed responses on the jth
trial have covariance matrix
11 12 1m
21
22
2m
=
m1 m2 mm
i =
'
ZZ
1
Z'Yi
1
1
'
'
'
   = ZZ Z Y  Y   Y = ZZ Z'Y
m
1
2
m
1 2
B = b1  b2   b m
the resulting matrix of errors is
Y  Z
Y
Y  ZB
'
 ZB =
 Zb1
Y
'
 Zb1
 Zb m
Y
'
 Zb1
 Zbi
Y
'
 Zbi
^
b~ (i)
 Zb m
Y
Y  ZB
'
 ZB and
 Zb m
Y
'
 Zb m
generalized
variance
Y  ZB
Y  ZB
'
minimizes the
i.e.,
tr
 Zb1
'
 Z
Y
Z Y
'
= ZZ
1
'
YY
1
'
= I  Z ZZ Z' Y
1
'
'
1
'
'
'
'
Y
1
' '
'
Z I  Z ZZ Z' Y
= 0
Furthermore, because
we have
'
YY
total sums of
squares and
crossproducts
+
Y
'
YY
predicted sums
of squares and
crossproducts
'
residual (error)
sums of squares
and crossproducts
71
77
73
78
76
87
Overall Purchase
Quality
Intent
63
67
70
70
72
70
75
72
89
88
76
77
We wish to estimate
Y1 = B01 + B11z1 + B21z2
and
Y2 = B02 + B12z1 + B22z2
jointly.
The design matrix is
1
1
1
Z =
1
1
65
72
77
68
81
73
71
77
73
78
76
87
so
1 1 1 1 1 1
'
ZZ
= 65 72 77 68 81 73
71 77 73 78 76 87
1
1
1
1
65
72
77
68
81
73
71
77
436
462
6
73
=
436
31852
33591
78
462 33591 35728
76
87
and
1
ZZ
'
1
436
462
6
and
Z'y1
so
1 1 1 1 1 1
= 65 72 77 68 81 73
71 77 73 78 76 87
63
70
445
72
=
32536
75
34345
89
76
1
'
1 = ZZ Z'y1
= 1.134583728
0.379499410
and
Z'y 2
so
1 1 1 1 1 1
= 65 72 77 68 81 73
71 77 73 78 76 87
67
70
444
70
=
32430
72
34260
88
77
1
'
2 = ZZ Z'y2
= 0.940880634
0.351449792
so
37.501205460 21.432293350

= 1.134583728
=
0.940880634
1 2
0.379499410
0.351449792
1
1
1
= Z =
1
1
65
72
77
68
81
73
71
63.19119
73.41028
77
37.501205460 21.432293350
73
77.56520
0.940880634 =
1.134583728
78
69.25144
0.379499410
0.351449792
83.24203
76
87
78.33986
64.67788
73.37275
76.67135
69.96067
81.48922
77.82812
Y  Y
63
70
72
=
75
89
76
b = [b
 b b
]
~ (1) ~ (2)
~ (m)
~
of the multivariate regression model have the
following properties
= i.e., E
 E
i
i
1
'
 Cov i, k = ik ZZ , i, k = 1, , m
'
= 1
 E = 0 and E
n  r  1
= z'0
z'0
= z'0
E z'0
z'0i  z'0
i
E z'0 i 
i i
'
= z0 E i 
i
z
0
i
'
1
'
'
 i z0 = ikz0 ZZ z0
'
= Y0
z'0
'
E Y0i  z0i
0k
 z
k
'
0
'
= 1 + z' ZZ
ik
0
1
z0
1
'
ZZ
Z'Y
Cov
i
k
= ZZ
'
ik
1
, i, k = 1, , m
^
Also, the maximum likelihood estimator of b is
~
independent of the maximum likelihood estimator of
the positive definite matrix S given by
1
'
= 1
=
n
n
and
'
Y  Z Y  Z
~ Wp,nr1
n
H0 : 2 = 0 where
1
=
2
If we partition Z
in a similar manner
~
Z = Z1  Z2
m x (q + 1)
m x (r  q)
(q + 1) x m
(r  q) x m
E Y = Z
1
= Z1  Z2 = Z11 + Z22
^
The extra sum of squares associated with b(2) are
~
'
Y  Z1
Y  Z1
1
1
where
and
1 = n1
= n 
'
Y  Z
Y  Z
'
1 1
= ZZ
Y  Z1
1
1
'
Z'1Y
Y  Z1
1
H0:b(2) = 0~
~
is given by the ratio of generalized variances
= =
, 1
1
,
L
,
1
max L ,
,
max L
1
n2
2 n
 n  r  1  m  r + q + 1 ln
2
~ 2m rq
E
= nS
~
~
2n
E
= =
=
E+H
1
i=1 1 + i
Pillais Trace
i =1
1
i
= tr H H + E
1 + i
1
=
tr
HE
HotellingLawley Trace i
i=1
1
Roys Greatest Root
1 + 1
Each of these statistics is an alternative to Wilks
lambda and perform in a very similar manner
(particularly for large sample sizes).
71
77
73
78
76
87
Overall Purchase
Quality
Intent
63
67
70
70
72
70
75
72
89
88
76
77
= =
,
2
max L ,
,
max L
2
, 2
2
,
L
n2
2 n
E
= =
E+H
2
114.31302415 99.335143683
E =
99.335143683
108.5094298
214.96186763 178.26225891
H =
178.26225891
147.82823253
2n
E
=
E+H
114.31302415 99.335143683
99.335143683 108.5094298
=
114.31302415 99.335143683 214.96186763 178.26225891
99.335143683 108.5094298 + 178.26225891 147.82823253
2536.570299
=
= 0.34533534
7345.238098
 n  r  1  m  r + q + 1 ln
2
=  6  2  1  2  2 + 1 + 1 ln 0.34533534
2
= 0.92351795
at a = 0.01 and m(r  q) = 1 degrees of freedom, the
critical value is 9.210351  we have a strong nonrejection. Also, the approximate pvalue of this chisquare test is 0.630174 note that this is an extremely
gross approximation (since n r = 4 and n m = 4).
= =
,
1
max L ,
,
max L
1
, 1
1
,
L
n2
2 n
E
= =
E+H
1
114.31302415 99.335143683
E =
99.335143683
108.5094298
21.872015222 20.255407498
H =
20.255407498
18.758286731
2n
E
=
E+H
114.31302415 99.335143683
99.335143683 108.5094298
=
114.31302415 99.335143683 21.872015222 20.255407498
99.335143683 108.5094298 + 20.255407498 18.758286731
2536.570299
=
= 0.837135598
3030.059055
 n  r  1  m  r + q + 1 ln
2
=  6  2  1  2  2 + 1 + 1 ln 0.837135598
2
= 0.15440838
at a = 0.01 and m(r  q) = 1 degrees of freedom, the
critical value is 9.210351  we have a strong nonrejection. Also, the approximate pvalue of this chisquare test is 0.925701  note that this is an extremely
gross approximation (since n r = 4 and n m = 4).
Source
Model
Error
Corrected Total
DF
2
3
5
RSquare
0.691740
Sum of
Squares
256.5203092
114.3130241
370.8333333
Coeff Var
8.322973
Mean Square
128.2601546
38.1043414
Root MSE
6.172871
F Value
3.37
Pr > F
0.1711
y1 Mean
74.16667
Source
z1
z2
DF
1
1
Type I SS
234.6482940
21.8720152
Mean Square
234.6482940
21.8720152
F Value
6.16
0.57
Pr > F
0.0891
0.5037
Source
z1
z2
DF
1
1
Type III SS
214.9618676
21.8720152
Mean Square
214.9618676
21.8720152
F Value
5.64
0.57
Pr > F
0.0980
0.5037
Dependent Variable: y1
Parameter
Intercept
z1
z2
Estimate
37.50120546
1.13458373
0.37949941
Standard
Error
48.82448511
0.47768661
0.50090335
t Value
0.77
2.38
0.76
Pr > t
0.4984
0.0980
0.5037
Source
Model
Error
Corrected Total
DF
2
3
5
RSquare
0.625830
Sum of
Squares
181.4905702
108.5094298
290.0000000
Coeff Var
8.127208
Purchase Intent
Mean Square
90.7452851
36.1698099
Root MSE
6.014134
F Value
2.51
Pr > F
0.2289
y2 Mean
74.00000
Source
z1
z2
DF
1
1
Type I SS
162.7322835
18.7582867
Mean Square
162.7322835
18.7582867
F Value
4.50
0.52
Pr > F
0.1241
0.5235
Source
z1
z2
DF
1
1
Type III SS
147.8282325
18.7582867
Mean Square
147.8282325
18.7582867
F Value
4.09
0.52
Pr > F
0.1364
0.5235
Dependent Variable: y2
Parameter
Intercept
z1
z2
Purchase Intent
Estimate
21.43229335
0.94088063
0.35144979
Standard
Error
47.56894895
0.46540276
0.48802247
t Value
0.45
2.02
0.72
Pr > t
0.6829
0.1364
0.5235
y1
y2
Partial Correlation Coefficients from the Error SSCP Matrix / Prob > r
DF = 3
y1
y1
1.000000
y2
0.891911
0.1081
y2
0.891911
0.1081
1.000000
Statistic
Wilks' Lambda
Pillai's Trace
HotellingLawley Trace
Roy's Greatest Root
M=0
N=0
Value F Value
0.34533534
1.90
0.65466466
1.90
1.89573606
1.90
1.89573606
1.90
Num DF
2
2
2
2
Den DF
2
2
2
2
Pr > F
0.3453
0.3453
0.3453
0.3453
Statistic
Wilks' Lambda
Pillai's Trace
HotellingLawley Trace
Roy's Greatest Root
M=0
N=0
Value F Value
0.83713560
0.19
0.16286440
0.19
0.19454961
0.19
0.19454961
0.19
Num DF
2
2
2
2
Den DF
2
2
2
2
Pr > F
0.8371
0.8371
0.8371
0.8371
+
Y = Z
and
~ Nm
1
'
'
'
z0, z0 ZZ z0
independent
~ Wnr1
n
so
'
'
'
'
'
1
z0  z0
z0  z0
T2 =
1
1
n
r
1
'
'
z' ZZ
z'0 ZZ
z0
z0
0
'z0  'z0
'
1
n
r
1
'z0  'z0
z ZZ
'
0
'
1
m n  r  1
z0
Fm,nrm
nrm
z
i
'
0
1
m n  r  1
n
'
'
Fm,nr m z0 ZZ z0
ii
nrm
nr1
i = 1,,m
+
Y = Z
and
~ Nm
1
'
'
'
z0, z0 ZZ z0
independent
~ Wnr1
n
so
'
'
'
'
'
1
z0  z0
z0  z0
T2 =
1
1
n
r
1
'
'
z' ZZ
z'0 ZZ
z0
z0
0
'z0
Y0 
'
1
n
r
1
'z0
Y0 
m n  r  1
1 + z ZZ z0
Fm,nrm
nrm
'
0
'
1
z
i
'
0
1
m n  r  1
n
'
'
Fm,nr m 1 + z0 ZZ z0
ii
nrm
nr1
i = 1,,m