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st: significance of correlation coeff accounting for clustering


From   Raymond Lim <rl2240@columbia.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: significance of correlation coeff accounting for clustering
Date   Thu, 31 May 2012 16:42:11 -0400

Hello Statalisters,
I'm calculating the correlation coefficient of an individual-level
variable and a group-level variable (for example, student test scores
and school budget). Is it possible to clustering the variance based on
group ID? I believe the correlation coefficient itself won't change
with the adjustment, but the significance level will.

One hack method I did was regress the individual-level variables on
the group-level variables. The square root of R^2 gives the
correlation coefficient and the value above (Prob > F) gives the
significance. These values correspond to those given by pwcorr, sig.
Thus, I was planning to repeat this regression and cluster on the
group ID. Is there a name of this type of correlation?

Thanks,
-Raymond

--
Raymond Lim
Columbia University
B.A. Economics 2009, M.A. Statistics 2012
RL2240@columbia.edu
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