Re: st: how to derive standard error of correlation coefficient

[Nick Cox <n.j.cox@stata.com>]

If that is really all you know, I doubt that you can do it. To a good 
first approximation the se of r depends mainly on the sample size, so 
long as correlations are near zero. The original standard deviations are 
immaterial, given that the correlation is necessarily scale-free. But 
even given a p-value, you need sample size as well.

Also watch out: if correlations are interestingly non-zero, then the 
usual kind of rule that uncertainty is captured by intervals of the form 
estimate +/- multiplier * se breaks down, as the bounds +1 or -1 impart 
asymmetry to the problem. It's better to do calculations on a 
transformed scale. For more, see

SJ-8-3  pr0041  .  Speaking Stata: Corr. with confidence, Fisher's z 
revisited
        (help corrci, corrcii if installed) . . . . . . . . . . . .  N. 
J. Cox
        Q3/08   SJ 8(3):413--439
        reviews Fisher's z transformation and its inverse, the
        hyperbolic tangent, and reviews their use in inference
        with correlations

Nick

Miranda Kim wrote:

> How can I derive the standard error of the correlation coefficient when 
> I have only a correlation coefficient, p-value, and the standard 
> deviations of both variables?

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