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Correlation, and Level of Significance-ECO6416

Correlation, and Level of Significance-ECO6416 - F=(n-2 r...

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Correlation, and Level of Significance It is intuitive that with very few data points, a high correlation may not be statistically significant. You may see statements such as, “correlation is significant between x and y at the α = 0.005 level" and “correlation is significant at the α = 0.05 level." The question is: how do you determine these numbers? Using the simple correlation r, the formula for F-statistic is:
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Unformatted text preview: F= (n-2) r 2 / (1-r 2 ), where n is at least 2. As you see, F statistic is monotonic function with respect to both: r 2 , and the sample size n. Notice that the test for the statistical significance of a correlation coefficient requires that the two variables be distributed as a bivariate normal....
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