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Re: st: Comparing dependent spearman's correlation coefficients


From   Roger Newson <roger.newson@kcl.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparing dependent spearman's correlation coefficients
Date   Thu, 10 Jun 2004 20:37:10 +0100

At 18:37 10/06/2004, Nikos Pantazis wrote:
Dear statalisters,

A coleague of mine asked me the following question. Is
there a way to test the equality of two spearman
correlation coefficients e.g H0:r(y,x1)=r(y,x2). We
are aware for the existence of similar methodology for
parametric (Pearson's) correlation coefficients.
Such a methodology undoubtedly exists, ie its existence is implicit in the mathematical statistics that I know. However, it is subject to the caution that the Central Limit Theorem works slowly for the Spearman correlation coefficient, even under the ideal conditions of a null hypothesis. This was pointed out by Kendall and Gibbons (1990), who also pointed out that the Central Limit Theorem works a lot faster for Kendall's tau.

The -somersd- package, downloadable from SSC, can be used together with the -lincom- command of official Stata to calculate confidence intervals for the differences
tau(y,x1)-tau(y,x2)
and also the corresponding differences in Somers' D. For more about how to do this, type in Stata

net from http://www.kcl-phs.org.uk/rogernewson/

and download my Stata Journal paper on the subject (Newson, 2002), and also my Stata User Meeting presentation on the subject. See also the .pdf manuals distributed on SSC, and on my website, with the -somersd- package.

I hope this helps.

Roger

References

Kendall MG, Gibbons DJ. Rank Correlation Methods. 5th ed. New York: Oxford University Press; 1990.

Newson R. Parameters behind "nonparametric" statistics: Kendall's tau, Somers' D and median differences. The Stata Journal 2002; 2(1): 45-64.



--
Roger Newson
Lecturer in Medical Statistics
Department of Public Health Sciences
King's College London
5th Floor, Capital House
42 Weston Street
London SE1 3QD
United Kingdom

Tel: 020 7848 6648 International +44 20 7848 6648
Fax: 020 7848 6620 International +44 20 7848 6620
or 020 7848 6605 International +44 20 7848 6605
Email: roger.newson@kcl.ac.uk
Website: http://www.kcl-phs.org.uk/rogernewson

Opinions expressed are those of the author, not the institution.

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