This page shows an example of canonical correlation analysis with footnotes explaining the output in Stata. A researcher has collected data on three psychological variables, four academic variables (standardized test scores) and gender for 600 college freshman. She is interested in how the set of psychological variables relates to the academic variables and gender. In particular, the researcher is interested in how many dimensions are necessary to understand the association between the two sets of variables.

We have a data file, **mmreg.dta**, with 600 observations on eight
variables. The psychological variables are **locus of control**, **
self-concept** and **motivation**. The academic variables are standardized
tests in **reading**, **writing**, **math** and **science**.
Additionally, the variable **female** is a zero-one indicator variable with
the one indicating a female student. The researcher is interested in the
relationship between the psychological variables and the academic variables,
with gender considered as well. Canonical correlation analysis aims to
find pairs of linear combinations of each group of variables that are highly
correlated. These linear combinations are called canonical variates. Each
canonical variate is orthogonal to the other canonical variates except for the
one with which its correlation has been maximized. The
possible number of such pairs is limited to the number of variables in the
smallest group. In our example, there are three psychological variables and
more than three academic variables. Thus, a canonical correlation analysis
on these sets of variables will
generate three pairs of canonical variates.

To begin, let’s read in the dataset.

use http://www.ats.ucla.edu/stat/stata/dae/mmreg, clear

We can now proceed with our analysis. In Stata, canonical correlation
analysis is conducted using the **canon** command. Each group of
variables is enclosed in parenthesis. We are also interested in multivariate
tests for dimensionality, so we will add a **test** option that will allow us
to determine how many of the three generated canonical dimensions are needed to
describe the relationship between our sets of variables.
Using the **stderr** option will give us the standard errors and tests of significance for the raw coefficients of the canonical correlations.

canon (locus_of_control self_concept motivation)(read write math science female), test(1 2 3) stderr

Linear combinations for canonical correlations Number of obs = 600 ---------------------------------------------------------------------------------- | Coef. Std. Err. t P>|t| [95% Conf. Interval] -----------------+---------------------------------------------------------------- u1 | locus_of_control | 1.253834 .1210229 10.36 0.000 1.016153 1.491515 self_concept | -.3513499 .116424 -3.02 0.003 -.5799987 -.1227012 motivation | 1.26242 .2435532 5.18 0.000 .7840983 1.740742 -----------------+---------------------------------------------------------------- v1 | read | .0446206 .0122741 3.64 0.000 .0205152 .068726 write | .0358771 .0122944 2.92 0.004 .0117318 .0600224 math | .0234172 .0127339 1.84 0.066 -.0015914 .0484258 science | .0050252 .0122762 0.41 0.682 -.0190845 .0291348 female | .6321192 .1747222 3.62 0.000 .2889767 .9752618 -----------------+---------------------------------------------------------------- u2 | locus_of_control | -.6214775 .3731786 -1.67 0.096 -1.354375 .11142 self_concept | -1.187687 .3589975 -3.31 0.001 -1.892733 -.4826399 motivation | 2.027264 .7510053 2.70 0.007 .5523406 3.502187 -----------------+---------------------------------------------------------------- v2 | read | -.00491 .0378475 -0.13 0.897 -.07924 .0694199 write | .0420715 .0379101 1.11 0.268 -.0323814 .1165244 math | .0042295 .0392656 0.11 0.914 -.0728854 .0813444 science | -.0851622 .0378541 -2.25 0.025 -.1595052 -.0108192 female | 1.084642 .5387622 2.01 0.045 .02655 2.142735 -----------------+---------------------------------------------------------------- u3 | locus_of_control | -.6616896 .6064262 -1.09 0.276 -1.85267 .5292904 self_concept | .8267209 .5833814 1.42 0.157 -.3190007 1.972443 motivation | 2.000228 1.220406 1.64 0.102 -.3965655 4.397022 -----------------+---------------------------------------------------------------- v3 | read | .0213806 .0615033 0.35 0.728 -.0994078 .1421689 write | .0913073 .0616051 1.48 0.139 -.0296808 .2122955 math | .0093982 .0638077 0.15 0.883 -.1159158 .1347122 science | -.109835 .0615141 -1.79 0.075 -.2306445 .0109745 female | -1.794647 .8755045 -2.05 0.041 -3.514078 -.0752155 ---------------------------------------------------------------------------------- (Standard errors estimated conditionally) Canonical correlations: 0.4641 0.1675 0.1040 ---------------------------------------------------------------------------- Tests of significance of all canonical correlations Statistic df1 df2 F Prob>F Wilks' lambda .754361 15 1634.65 11.7157 0.0000 a Pillai's trace .254249 15 1782 11.0006 0.0000 a Lawley-Hotelling trace .314297 15 1772 12.3763 0.0000 a Roy's largest root .274496 5 594 32.6101 0.0000 u ---------------------------------------------------------------------------- Test of significance of canonical correlations 1-3 Statistic df1 df2 F Prob>F Wilks' lambda .754361 15 1634.65 11.7157 0.0000 a ---------------------------------------------------------------------------- Test of significance of canonical correlations 2-3 Statistic df1 df2 F Prob>F Wilks' lambda .96143 8 1186 2.9445 0.0029 e ---------------------------------------------------------------------------- Test of significance of canonical correlation 3 Statistic df1 df2 F Prob>F Wilks' lambda .989186 3 594 2.1646 0.0911 e ---------------------------------------------------------------------------- e = exact, a = approximate, u = upper bound on F

## Linear Combination Output

Linear combinations for canonical correlations Number of obs^{a}= 600 ------------------------------------------------------------------------------ | Coef.Std. Err.^{b}t^{c}^{d}P>|t|[95% Conf. Interval]^{e}-------------+---------------------------------------------------------------- u1^{f}^{g}| locus_of_c~l | 1.253834 .1210229 10.36 0.000 1.016153 1.491515 self_concept | -.3513499 .116424 -3.02 0.003 -.5799987 -.1227012 motivation | 1.26242 .2435532 5.18 0.000 .7840983 1.740742 -------------+---------------------------------------------------------------- v1^{h}| read | .0446206 .0122741 3.64 0.000 .0205152 .068726 write | .0358771 .0122944 2.92 0.004 .0117318 .0600224 math | .0234172 .0127339 1.84 0.066 -.0015914 .0484258 science | .0050252 .0122762 0.41 0.682 -.0190845 .0291348 female | .6321192 .1747222 3.62 0.000 .2889767 .9752618 -------------+---------------------------------------------------------------- u2^{i}| locus_of_c~l | -.6214775 .3731786 -1.67 0.096 -1.354375 .11142 self_concept | -1.187687 .3589975 -3.31 0.001 -1.892733 -.4826399 motivation | 2.027264 .7510053 2.70 0.007 .5523406 3.502187 -------------+---------------------------------------------------------------- v2^{j}| read | -.00491 .0378475 -0.13 0.897 -.07924 .0694199 write | .0420715 .0379101 1.11 0.268 -.0323814 .1165244 math | .0042295 .0392656 0.11 0.914 -.0728854 .0813444 science | -.0851622 .0378541 -2.25 0.025 -.1595052 -.0108192 female | 1.084642 .5387622 2.01 0.045 .02655 2.142735 -------------+---------------------------------------------------------------- u3^{k}| locus_of_c~l | -.6616896 .6064262 -1.09 0.276 -1.85267 .5292904 self_concept | .8267209 .5833814 1.42 0.157 -.3190007 1.972443 motivation | 2.000228 1.220406 1.64 0.102 -.3965655 4.397022 -------------+---------------------------------------------------------------- v3^{l}| read | .0213806 .0615033 0.35 0.728 -.0994078 .1421689 write | .0913073 .0616051 1.48 0.139 -.0296808 .2122955 math | .0093982 .0638077 0.15 0.883 -.1159158 .1347122 science | -.109835 .0615141 -1.79 0.075 -.2306445 .0109745 female | -1.794647 .8755045 -2.05 0.041 -3.514078 -.0752155 ------------------------------------------------------------------------------ (Standard errors estimated conditionally) Canonical correlations^{m}: 0.4641 0.1675 0.1040

a. **Number of obs** – This is the number of observations in the dataset
with valid data in all of the variables listed in the **canon **command. In
this example, as we saw in the summary, we do not have any missing data in this
dataset.

b. **Coef.** – These are the raw canonical coefficients. They define the
linear relationship between the variables in a given group and the canonical
variates (v1, u1, etc.). They can be interpreted in the same way you would interpret regression coefficients,
assuming the canonical variate as the outcome variable. For example, a one
unit increase in **locus_of_control** leads to a 1.253834 unit increase in **
u1**.

c. **Std. Err. **– These are the standard errors associated with the raw
canonical coefficients. The standard error is used for testing whether the
coefficient is significantly different from 0 by dividing the coefficient estimate
by the standard error to obtain a t-value (see superscript d). The standard
errors can also be used to form a confidence interval for the coefficient (see
superscript f).

d. **t** – These are the t-values used in testing the null hypothesis that
the coefficient is 0. The t-values follow a t-distribution which is used to
test against a two-sided alternative hypothesis that the **Coef.** is not
equal to zero.

e.** P>|t| **– This is the probability the **t** test statistic (or
a more extreme test statistic) would be observed under the null hypothesis that
a particular variable’s canonical coefficient is zero, given that the rest of
the variables in the set. For a given alpha level, **P>|t|**
determines whether or not the null hypothesis can be rejected. If **P>|t| **
is less than alpha, then the null hypothesis can be rejected and the canonical
coefficient estimate is considered statistically significant at that alpha level.

f.** [95% Conf. Interval] **– **This shows
a 95% confidence interval for the **canonical coefficient**. This is very useful as it helps
you understand how high and how low the actual population value of the **
canonical coefficient** might be. The confidence intervals are related to the p-values such that the
coefficient will not be statistically significant if the confidence interval
includes 0. **

g. **u1** – This is the first canonical variate, or first dimension, for
variable set 1. It is a linear combination of the psychological variables: **locus of control**, **
self-concept** and **motivation**. It is calculated to be maximally
correlated with **v1** and orthogonal to all of the other canonical variates.

h. **v1** – This is the first canonical variate, or first dimension, for
variable set 2. It is a linear combination of the academic variables (**reading**, **writing**, **math** and **science**)
and **female**. It is calculated to be maximally correlated with **u1**
and orthogonal to all of the other canonical variates.

i. **u2** – This is the second canonical variate, or second dimension, for
variable set 1. It is a linear combination of the psychological variables: **locus of control**, **
self-concept** and **motivation**. It is calculated to be maximally
correlated with **v2** and orthogonal to all of the other canonical variates.

j. **v2** – This is the second canonical variate, or second dimension, for
variable set 2. It is a linear combination of the academic variables (**reading**, **writing**, **math** and **science**)
and **female**. It is calculated to be maximally correlated with **u2**
and orthogonal to all of the other canonical variates.

k. **u3** – This is the third canonical variate, or third dimension, for
variable set 1. It is a linear combination of the psychological variables: **locus of control**, **
self-concept** and **motivation**. It is calculated to be maximally
correlated with **v3** and orthogonal to all of the other canonical variates.

l. **v3** – This is the third canonical variate, or third dimension, for
variable set 2. It is a linear combination of the academic variables (**reading**, **writing**, **math** and **science**)
and **female**. It is calculated to be maximally correlated with **u3**
and orthogonal to all of the other canonical variates.

m. **Canonical correlation **– These are the Pearson correlation coefficients of
**u1** and **v1**, **u2** and **v2**, and **u3** and **v3**,
respectively. We can use the **predict **command after running **canon**
to generate the canonical variates, and then examine the correlation matrix of
these six variables to see these correlations.

predict u1, u corr(1) predict v1, v corr(1) predict u2, u corr(2) predict v2, v corr(2) predict u3, u corr(3) predict v3, v corr(3) corr u1 v1 u2 v2 u3 v3| u1 v1 u2 v2 u3 v3 -------------+------------------------------------------------------ u1 | 1.0000 v1 | 0.4641 1.0000 u2 | -0.0000 0.0000 1.0000 v2 | -0.0000 0.0000 0.1675 1.0000 u3 | -0.0000 0.0000 -0.0000 -0.0000 1.0000 v3 | -0.0000 0.0000 -0.0000 0.0000 0.1040 1.0000

From this, we can see the non-zero correlations of the canonical variate pairs (u1,v1), (u2,v2) and (u3,v3) and the zero correlations of all other combinations of the canonical variates.

## Significance Test Output

Tests of significance of all canonical correlationsStatistic^{n}^{o}df1 df2^{p}FProb>F^{q}^{r}Wilks' lambda^{s}.754361 15 1634.65 11.7157 0.0000 a Pillai's trace.254249 15 1782 11.0006 0.0000 a Lawley-Hotelling trace^{t}.314297 15 1772 12.3763 0.0000 a Roy's largest root^{u}.274496 5 594 32.6101 0.0000 u ---------------------------------------------------------------------------- Test of significance of canonical correlations 1-3^{v}^{w}Statistic df1 df2 F Prob>F Wilks' lambda .754361 15 1634.65 11.7157 0.0000 a ---------------------------------------------------------------------------- Test of significance of canonical correlations 2-3^{x}Statistic df1 df2 F Prob>F Wilks' lambda .96143 8 1186 2.9445 0.0029 e ---------------------------------------------------------------------------- Test of significance of canonical correlation 3^{y}Statistic df1 df2 F Prob>F Wilks' lambda .989186 3 594 2.1646 0.0911 e ---------------------------------------------------------------------------- e = exact, a = approximate, u = upper bound on F^{z}

n. **Tests of significance of all canonical correlations** – By default,
Stata tests all of the canonical dimensions together, listing four multivariate test
statistics and their significance levels. Our null hypothesis is that our two
sets of variables are not linearly related. We evaluate this hypothesis
based on the p-values for the multivariate tests.

o. **Statistic** – This is the test statistic based on the multivariate
statistic indicated in the prior column. We wish to test the hypothesis that our
two sets of variables are not linearly related. Since our canonical variates
are linear combinations of the sets, correlations between our canonical variates
imply linear relationships between our sets of variables. Thus, these
statistics are calculated from the canonical correlations.

p. **df1 & df2** – These are the degrees of freedom used in determining the F statistic.
Note that there are instances in manova when the degrees of freedom may be a
non-integer (here, the **df2** associated with Wilks’ lambda is a
non-integer) because these degrees of freedom are calculated using the mean
squared errors, which are often non-integers.

q. **F** – This is the F statistic for the given multivariate test. Note
that the F statistic for Roy’s largest root is quite different that the other F
statistics. For more details about each of the tests, see superscripts s,
t, u, and v.

r. **Prob>F** – This is the p-value associated with the F statistic of a given test statistic. The
null hypothesis that our two sets of variables are not linearly related is evaluated with regard to this p-value.
For a given alpha level, if the p-value is less than alpha, the null hypothesis
is rejected. If not, then we fail to reject the null hypothesis. In
this example, we reject the null hypothesis that our two sets of variables are
not linearly related at alpha level .05 because the p-values are
all less than .05.

s. **Wilks’ lambda** – This is one of the four multivariate statistics
calculated by Stata. Wilks’ lambda is the product of the values of
(1-canonical correlation^{2}). In this example, our canonical
correlations are 0.4641, 0.1675, and 0.1040 so the Wilks’ Lambda testing
all three of the correlations is (1- 0.4641^{2})*(1-0.1675^{2})*(1-0.1040^{2})
= 0.754361. For the dimensions 2-3, Wilks’ lambda is calculated using just 0.1675
and 0.1040: (1-0.1675^{2})*(1-0.1040^{2}) = 0.96143. For
dimension 3, Wilks’ lambda is (1-0.1040^{2}) = 0.989186.

t. **Pillai’s trace** – Pillai’s trace is another of the four multivariate
statistics calculated by Stata. Pillai’s trace is the sum of the squared
canonical correlations. It is only presented in the test of all three
correlations: 0.4641^{2} + 0.1675^{2} + 0.1040^{2} = .254249.

u. **Lawley-Hotelling trace** – This is very similar to Pillai’s trace. It is the sum
of the values of (canonical correlation^{2}/(1-canonical correlation^{2})).
We can calculate 0.4641^{2 }/(1- 0.4641^{2}) + 1675^{2}/(1-0.1675^{2})
+ 0.1040^{2}/(1-0.1040^{2}) = 0.314297.

v. **Roy’s largest root **– This is the square of the largest canonical
correlation. Because it is based on a maximum,
it can behave differently from the other three test statistics. In
instances where the other three are not significant and Roy’s is significant,
the effect should be considered not significant.

w. **Test of significance of canonical correlations 1-3** – In
addition to the tests given in the output produced without options, we specified additional tests in our command. The first test
of dimensions again tests whether all three dimensions are significant. We see
that, for this test, only one multivariate test statistic is listed (Wilks’
lambda), and it is redundant given the default test printed above. In
this example, we reject the null hypothesis that our two sets of variables are
not linearly related at alpha level .05 because the p-values are
all less than .05.

x. **Test of significance of canonical correlations 2-3** – Here, we
test whether dimensions 2 and 3 combined are significant. We reject the null hypothesis at alpha level
0.05 because the p-value
is less than .05.

y. **Test of significance of canonical correlation 3** – Here, we
test whether dimension 3, by itself, is significant. We fail to reject
the null hypothesis at alpha level 0.05 because the p-value is greater than 0.05.
Based on the results of the three tests, we can conclude that dimensions 1 and 2
must each be significant. This answers the researcher’s original question of how
many dimensions are needed to describe the relationship between the two sets of
variables.

z. **e = exact, a = approximate, u = upper bound on F** – This indicates
how the F statistic was calculated (whether it was an exact calculation, an approximation, or
an upper bound) for each of the multivariate tests.

For a further exploration of the options available in **canon**, see the
corresponding Data Analysis Example page.