[Gretl-users] Spearman Rank correlation

[Secchi Angelo]

On Thu, 26 Jul 2007 16:26:13 -0400 (EDT)
Allin Cottrell <cottrell at wfu.edu> wrote:

> 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.

Thanks, it seems ok now. I will do some more detailed 
exploration
in the next few days and, in case, I will provide you with 
new
feedback. Just a small detail: I believe it would be nice 
to make users
able to easily generate a scatter plot with the two series 
of ranks
generated for the test, if it is not too much work.

Thanks again,
Angelo


> 
> > 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.
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-- 
========================================================
  Angelo Secchi                     PGP Key ID:EA280337
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   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/
========================================================