[Gretl-users] Spearman Rank correlation

[Allin Cottrell]

On Thu, 26 Jul 2007, Angelo Secchi wrote:

> 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...

Yes, I was using (possibly mis-using) the normal approximation.  I 
have now changed this to use the t-approximation when there are 
ties.  

t(n - 2) = rho / sqrt((1 - rho) * (1 - rho) / (n - 2))

See what you think.

> 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.

Yes, that's a good idea.

Allin.