Re: [Gretl-users] Spearman Rank correlation
On Thu, 26 Jul 2007 16:26:13 -0400 (EDT)
Allin Cottrell <cottrell(a)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
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email: secchi(a)sssup.it www.sssup.it/~secchi/
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