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RE: st: Polychoric and missing values in correlation matrix

From   jverkuilen <>
To   <>
Subject   RE: st: Polychoric and missing values in correlation matrix
Date   Thu, 9 Apr 2009 15:13:51 -0400

Maarten already addressed why you have missing values. 

Tetra- and poly-choric correlations assume underlying *bivariate* normality With some binary and other continuous variables, you really want some tetrachoric (for binay/binary pairs), Pearson correlations (for continuous/continuous pairs), and biserial correlations (for binary/continuous pairs). 

I am guessing the tetrachorics on skewed binary variables are the trouble spot, and you can get them using -tetrachoric- on only the binary variables and checking the bivariate margins with -tab-. 

There is no guarantee the resulting "correlation" matrix is consistent with multivariate normality, however, but checking for PSD requires you compute the eigenvalues, which is easy enough using -pcamat-. 

You can often approximate tetrachoric and biserial correlations quite well using a common correction factor based on the ordinate of the Gaussian, a result found in most test theory books, e.g., 

R. P. McDonald. 1999. Test Theor: A Unified Treatment. LEA.   

-----Original Message-----
From: "Juan Julio Gutierrez" <>
Sent: 4/9/2009 7:50 AM
Subject: st: Polychoric and missing values in correlation matrix

Dear all

I am using the polychroric command to calculate the correlation matrix of a set of 17 variables ( 8 binary 0-/1 and 9 metric). 

After lenghty calculations STATA shows a matrix  with missing values in the matrix, mostly between metric and binary variables. 4 metric variables have missing values correlations with binary variables. 

The results window show these messages. In red: 

could not calculate numerical derivatives

missing values encountered

initial values not feasible

too few quotes

no variables defined

And in green: 

numerical derivatives are approximate

nearby values are missing

Do you have an idea why am I facing these results?

How can I assure that the corr. matrix is positive defined?

Do you know if using R poly command would dela with the missing values? . 

Thank you 

Juan Julio

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