Inference for Pearson's moment correlation relies on normality of the
data. Spearman rank correlation is free of any assumptions, but there
is no population characteristic that it estimates, which makes
interpretation and asymptotic inference somewhat weird. If one is
significant and the other is not, you are making either type I or type
II error somewhere.
On 10/6/09, Ashwin Ananthakrishnan <[email protected]> wrote:
> Hi,
>
> In examining the correlation between two variables, what is the difference in utility of the Spearman correlation co-efficient (stata command 'spearman') and the Pearson correlation co-efficient (stata command "pwcorr" or "correlate")?
>
> Is there a situation where one is more applicable than the other? What does it mean if the correlation is significant with one but not the other?
>
> Thanks,
>
> Ashwin
>
>
>
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Stas Kolenikov, also found at http://stas.kolenikov.name
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