[R] Testing the equality of correlations

Viechtbauer Wolfgang (STAT) Wolfgang.Viechtbauer at STAT.unimaas.nl
Thu Sep 28 10:50:21 CEST 2006

```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 at stat.math.ethz.ch [mailto:r-help-
> bounces at stat.math.ethz.ch] On Behalf Of Paul Hewson
> Sent: Wednesday, September 27, 2006 17:40
> To: Marc Bernard; r-help at 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 at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Marc Bernard
> Sent: 27 September 2006 14:42
> To: r-help at 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)?
>