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st: RE: pwcorr(2)


From   "Grealy, Patrick J" <Patrick.J.Grealy@uth.tmc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: pwcorr(2)
Date   Fri, 12 Dec 2008 09:26:01 -0600

Thank you Kit Baum.

I submitted the initial query about returned results from pwcorr
yesterday, generating a much livelier and informative discussion than I
had anticipated.
Pat Grealy

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum
Sent: Thursday, December 11, 2008 7:33 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: pwcorr(2)

< >
In the "users rush in where StataCorp fears to tread" department,  
there is now a routine -pwcorr2- available on SSC. It is official - 
pwcorr- with an added feature: three matrices are returned, containing  
correlations (r(C), like -correlate-)), sample sizes (r(Cn)) and  
significance levels (r(Cp)).

Nick Cox raises some very good points suggesting why StataCorp may  
have failed to include this feature in official -pwcorr-. The matrices  
returned should be used with caution; in particular, one should not  
think of r(C) as being a 'correlation matrix' of the data, in the  
sense that one may transform a variance-covariance matrix calculated  
over N observations into a correlation matrix. But as a descriptive  
tool, one may often want to calculate pairwise correlations over  
disparate samples (particularly useful in my experience in time-series  
data), and it is cumbersome to calculate them one pair at a time with - 
correlate-. -pwcorr2- circumvents that limitation, but should be used  
with caution.

-ssc describe pwcorr2-  for details.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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