Re: [R] Testing the equality of correlations

From: Viechtbauer Wolfgang (STAT) <Wolfgang.Viechtbauer_at_stat.unimaas.nl>
Date: Thu 28 Sep 2006 - 08:50:21 GMT


It's more complicated than that, since Phi(X1,X2), Phi(X1,X3), and Phi(X1,X4) are dependent. Take a look at:

Olkin, I., & Finn, J. D. (1990). Testing correlated correlations. Psychological Bulletin, 108(2), 330-333.

and

Meng, X., Rosenthal, R., & Rubin, D. B. (1992). Comparing correlated correlation coefficients. Psychological Bulletin, 111(1), 172-175.

You will probably have to implement these tests yourself.

Best,

-- 
Wolfgang Viechtbauer 
 Department of Methodology and Statistics 
 University of Maastricht, The Netherlands 
 http://www.wvbauer.com/ 



> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch [mailto:r-help-
> bounces@stat.math.ethz.ch] On Behalf Of Paul Hewson
> Sent: Wednesday, September 27, 2006 17:40
> To: Marc Bernard; r-help@stat.math.ethz.ch
> Subject: Re: [R] Testing the equality of correlations
>
> Off the top my head (i.e. this could all be horribly wrong), I think
> Anderson gave an asymptotic version for such a test, whereby under the
> null hypothesis, the difference between Fisher's z for each sample, z1 -
> z2, is normal with zero mean.

> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch
> [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Marc Bernard
> Sent: 27 September 2006 14:42
> To: r-help@stat.math.ethz.ch
> Subject: [R] Testing the equality of correlations
>
> Dear All,
>
> I wonder if there is any implemented statistical test in R to test
> the equality between many correlations. As an example, let X1, X2, X3
> X4 be four random variables. let
> Phi(X1,X2) , Phi(X1,X3) and Phi(X1,X4) be the corresponding
> correlations.
> How to test Phi(X1,X2) = Phi(X1,X3) = P(X1,X4)?
>
> Many thanks in advance,
>
> Bernard
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Received on Thu Sep 28 19:36:23 2006

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