A linear model-based test for the heterogeneity of conditional correlations

Gregory Wilding, Xueya Cai, Alan Hutson and Zhangsheng Yu

Journal of Applied Statistics, 2011, vol. 38, issue 10, 2355-2366

Abstract: Current methods of testing the equality of conditional correlations of bivariate data on a third variable of interest (covariate) are limited due to discretizing of the covariate when it is continuous. In this study, we propose a linear model approach for estimation and hypothesis testing of the Pearson correlation coefficient, where the correlation itself can be modeled as a function of continuous covariates. The restricted maximum likelihood method is applied for parameter estimation, and the corrected likelihood ratio test is performed for hypothesis testing. This approach allows for flexible and robust inference and prediction of the conditional correlations based on the linear model. Simulation studies show that the proposed method is statistically more powerful and more flexible in accommodating complex covariate patterns than the existing methods. In addition, we illustrate the approach by analyzing the correlation between the physical component summary and the mental component summary of the MOS SF-36 form across a fair number of covariates in the national survey data.

Keywords: correlation coefficient; heterogeneity; linear model; multivariate normal distribution; MOS SF-36 (search for similar items in EconPapers)
Date: 2011
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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DOI: 10.1080/02664763.2011.559201

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