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Re: st: Comparing dependent spearman's correlation coefficients


From   n p <nik_padazis@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparing dependent spearman's correlation coefficients
Date   Fri, 11 Jun 2004 02:27:28 -0700 (PDT)

Thanks Roger for your reply. I will forward it to my
colleague.

Nikos
--- Roger Newson <roger.newson@kcl.ac.uk> wrote:
> 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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