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st: Re: Problem in modifying built-in ktau.ado code (for Kendall's tau)

From   Roger Newson <[email protected]>
To   [email protected]
Subject   st: Re: Problem in modifying built-in ktau.ado code (for Kendall's tau)
Date   Wed, 04 Feb 2004 12:16:26 +0000

At 17:44 03/02/04 -0700, Mike Lacy wrote:

I need to calculate Kendall's tau as efficiently as possible on two continuous variables for each repetition in a large set of bootstrap experiments. Calculating Kendall's tau is slow, being of order (N^2)/2. My estimate is that using the built-in ktau.ado command, which is the fastest command to obtain Kendall's tau in Stata, the bootstrap experiments will take at least 10-15 days of dedicated time on a fast Wintel machine.
Kendall's tau is probably a textbook example of where Stata plugins might come into their own, especially if you are bootstrapping it. Details can be found at

My own -somersd- package (downloadable from SSC) calculates jackknife CIs for Kendall's tau-a and Somers' D, using formulas detailed it a manual downloadable from my website (see my signature). It also uses a quadratic algorithm without plugins, and sometimes provides an excuse for a coffee break if used on large (eg 10K) sets of continuous data, although it is very fast with discrete data.

I hope this helps.

Best wishes


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: [email protected]

Opinions expressed are those of the author, not the institution.

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