[Gretl-users] Spearman Rank correlation

[Angelo Secchi]

On Thu, 26 Jul 2007 01:13:00 -0400 (EDT)
Allin Cottrell <cottrell at wfu.edu> wrote:

> On Wed, 25 Jul 2007, Angelo Secchi wrote:
> 
> > I've noticed a strange behaviour of GRETL with Rank 
> > Correlation...
> 
> I hope this is fixed now, in CVS and the current Windows snapshot 
> at
> 
> http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
> 
> I think the problem was incorrect treatment of the case where 
> there are ties in the rank calculation.  This area of gretl hasn't 
> been examined in quite a long time.  I would be glad to receive 
> reports of good or bad behaviour with the modified gretl,

Now it seems ok, thanks. I checked also the test
and I have a couple of doubts:

1. There something I do not understand in p-values. I believe you used
the Normal approximation (instead of Student-T) because of ties. Am I
right? Still the value obtained are significantly different from the
ones obtained in R and Stata and I do not believe it is an
approximation issue. If you provide me some details (or the reference)
on the formula used for the p-value of this test I can compare results
with different software and give you more detailed feed-back.  

2. If I may, I would suggest to implement as default a two tailed
alternative. In general this test is considered to verify the presence of
correlation between two samples independently from its sign.

Thanks again,
Angelo 




> 
> Allin Cottrell
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> Gretl-users mailing list
> Gretl-users at lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users


-- 
========================================================
 Angelo Secchi                     PGP Key ID:EA280337
========================================================
  Research Fellow Scuola Superiore S.Anna
  Piazza Martiri della Liberta' 33, Pisa, 56127 Italy
  ph.: +39050883365             fax: +39050883344 
  email: secchi at sssup.it	www.sssup.it/~secchi/
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