A regression model that uses more than one dependent variable and more than one explanatory variable. The canonical weights provide an index for the dependent variables but without a theory. Despite a number of attempts, it seems to have no value for forecasting (e.g., Fralicx and Raju, 1982, tried but failed).
- Fralicx, R. & N. S. Raju (1982), “A comparison of
five methods for combining multiple criteria into a single composite,”
*Educational and Psychological Measurement*, 42,
823-827.