Dear Statlisters,
After running the PCA command in 9 time series, I use the SCORE option
to extract the first two common components. This is what I do:
. pca s*, fa(2)
. score f1 f2
What puzzles me is the following:
. spearman f1 f2
Number of obs = 61
Spearman's rho = 0.3477
Test of Ho: f1sov and f2sov are independent
Prob > |t| = 0.0060
Where I reject independence. I thought that by construction, they should
be orthogonal. A regular PWCORR command produces the following output:
. pwcorr f1 f2, sig
| f1 f2
-------------+---------------------
f1 | 1.0000
|
|
f2 | -0.0000 1.0000
| 1.0000
Where correlation is zero but p-value is 1. Any ideas as to why
spearman's test fails to reject independence and I get such p-value in
the regular correlation command?
Thanks!
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