Hoeffding’s D correlation - Stata - Command?

[Guest]

Hello,


I want to calculate the Hoeffding's D correlation in Stata 15.1 but I do not find the command I need?


Regards
Guest

[Carlo Lazzaro]

Guest:
welcome to this forum.
I would take a look at: http://www.rogernewsonresources.org....rs/somdext.pdf.

[Guest]

Dear Carlo Lazzaro,


Thank you for your help.


Regards,
Guest
(Stata 15.1 IC)

[Nick Cox]

See also bkrosenblatt from SSC.

I guess I first took Hoeffding's measure seriously when I read about it in Frank Harrell's remarkable book Regression Modeling Strategies*. But my further reading quickly led me to suppose that it was superseded long since by a measure devised by Blum, Kiefer and Rosenblatt, which in turn remains an awkward beast., despite the best endeavours of several very smart people.

Although I enjoyed the little project that produced this command, my prejudice remains that the best way to check for any kind of relationship between variables is ready to hand, easy to understand and easy to implement. It's called a scatter plot.

* Springer, New York, 2001 and now in a second edition.

[Guest]

Dear Nick Cox,


Thanks a lot for your advice.


Regards,
Guest
(Stata 15.1 IC)