Dear statalisters,
A coleague of mine asked me the following question. Is
there a way to test the equality of two spearman
correlation coefficients e.g H0:r(y,x1)=r(y,x2). We
are aware for the existence of similar methodology for
parametric (Pearson's) correlation coefficients.
Such a methodology undoubtedly exists, ie its existence is implicit in the
mathematical statistics that I know. However, it is subject to the caution
that the Central Limit Theorem works slowly for the Spearman correlation
coefficient, even under the ideal conditions of a null hypothesis. This was
pointed out by Kendall and Gibbons (1990), who also pointed out that the
Central Limit Theorem works a lot faster for Kendall's tau.
