SPSS macro for Canonical Correlation Analysis

In statistics, canonical correlation analysis, introduced by Harold Hotelling, is a way of making sense of cross-covariance matrices. In SPSS, on does Canonical Correlation Analysis by using the canonical correlation macro. In the syntax window, type

Include file ’C:\Program files\SPSS\canonical correlation.sps’.
Cancorr
set1=x1,x2/
set2=y1,y2/.

Then, click "Run"→"All" via SPSS Syntax editor menu.