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Re:st: difference between "Spearman" and "pwcorr / correlate"

From   Mike Lacy <>
Subject   Re:st: difference between "Spearman" and "pwcorr / correlate"
Date   Wed, 07 Oct 2009 11:37:35 -0600

Stas Kolenikov <> wrote:

>Inference for Pearson's moment correlation relies on normality of the
>data. Spearman rank correlation is free of any assumptions, but there
>is no population characteristic that it estimates, which makes
>interpretation and asymptotic inference somewhat weird. If one is
>significant and the other is not, you are making either type I or type
>II error somewhere.
>On 10/6/09, Ashwin Ananthakrishnan <> wrote:
>> Hi,
>>  In examining the correlation between two variables, what is the
>difference in utility of the Spearman correlation co-efficient (stata
>command 'spearman') and the Pearson correlation co-efficient (stata
>command "pwcorr" or "correlate")?

In the angels on the head of a pin vein:
Of possible interest in this regard is that the Spearman coefficient is the same as the Pearson calculated on the ranked values of the variables (ties getting the average rank). I would agree that this is not a terribly interesting population parameter, but isn't this nevertheless an estimable/testable population characteristic?

Mike Lacy
Fort Collins CO USA
(970) 491-6721 office

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