[Gretl-users] Re: correlation

Am 02.03.2023 um 11:50 schrieb Alison Loddick: Hi, let's first make sure we're talking about the same things here: When you say "non-parametric correlation", I guess you're using the GUI and went to Tools/Nonparametric Tests/Correlation, where you have the choice between Kendall's tau and Spearman's rho (and can only enter two variables). And I suppose that "parametric correlation" means going to View/Correlation matrix, where you can choose an arbitrary number of variables. Please correct me if that's not what you're doing. Here are some remarks about that: - I can confirm the limitation of two variables for the Kendall / Spearman tests. If scripting is an option, then it's fairly easy to write a loop like this: <hansl> open banks91.gdt # example data included in gretl include extra.gfn # needed for convenience function 'combinations' list allwanted = P1..P3 matrix indices = allwanted matrix pairs = combinations(indices, 2) loop i = 1..rows(pairs)     corr pairs[i, 1] pairs[i, 2] --kendall    # or --spearman endloop </hansl> Admittedly, output in the form of a matrix would be a little more work. Perhaps at some point the 'corr' command could be extended to cover this. - About the parametric thing, I'm noting that you get the pairwise test for n=2, and a (significance) test for non-correlation also for n>2, but the latter appears to be a joint test with respect to all off-diagonal correlations. If I understand correctly, you want a battery of pairwise tests. Of course, you could simply reuse the loop above without the --kendall option. But given that we even have a heatmap button in the correlation output, I agree that it would make sense to compute the pairwise tests automatically. Thanks for your feedback cheers sven