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RE: st: correlation for longitudinal data

From   "Nick Cox" <>
To   <>
Subject   RE: st: correlation for longitudinal data
Date   Tue, 21 Jul 2009 14:56:30 +0100

To expand on Austin's advice, there are then lots of ways of defining
correlation, ranging from collapsing each panel to a single data point
to something more elaborate. 

Loss of independence may not be crucial unless you really want P-values
or confidence intervals (and in either case you need to worry about
distributions too). By Cauchy-Schwarz correlations are bounded by [-1,1]
regardless of generating process. The bigger issue is disentangling
within-panel and between-panel variation, which implies that you need an
appropriate model. 

In short, I think you need to signal more of what you want to get better


Ricardo Ovaldia replied to Austin Nichols:

>corr y x

The problem is that I have non-independent observations. Longitudinal
(panel) data. Multiple measurements per patient over time. Pearson's
correlation assumes independence, therefore -corr- is not appropiate.

Ricardo Ovaldia<> :
corr y x

but I guess you have something else in mind--perhaps you could
clarify.  Maybe you want to allow mean and SD to change over time, and
standardize by time e.g.

webuse psidextract, clear
corr lwage ed
ren lwage y
ren ed x
egen my=mean(y), by(t)
egen sy=sd(y), by(t)
egen mx=mean(x), by(t)
egen sx=sd(x), by(t)
g zy=(y-my)/sy
g zx=(x-mx)/sx
reg zy zx, nocons
corr zy zx

On Mon, Jul 20, 2009 at 9:51 AM, Ricardo Ovaldia<>

> Is there a way to estimate a correlation coefficient of two continuous
measurements each collected over time on a sample of patients? Not sure
if I can do this with -xtreg- for example.

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