Tests For Two Correlations

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Chapter 805
Tests for Two

Correlations
Introduction
The correlation coefficient (or correlation), ρ , is a popular parameter for describing the strength of the
association between two variables. The correlation coefficient is the slope of the regression line between two
variables when both variables have been standardized. It ranges between plus and minus one. This chapter covers
the case in which you want to test the difference between two correlations, each coming from a separate sample.
Since the correlation is the standardized slope between two variables, you could also apply this procedure to the
case in which you want to test whether the slopes in two groups are equal.
Test Procedure
In the following discussion, ρ is the population correlation coefficient and r is the value calculated from a
sample. The testing procedure is as follows. H 0 is the null hypothesis that ρ1 = ρ2 . H A represents the
alternative hypothesis that ρ1 ≠ ρ2 (one-tailed hypotheses are also available). To construct the hypothesis test,
transform the correlations using the Fisher-z transformation.
1  1 + ri 
zi = log 
2  1 − ri 
1  1 + ρi 
Zi = log 
2  1 − ρi 
This transformation is used because the combined distribution of r1 and r2 is too difficult to work with, but the
distributions of z1 and z2 are approximately normal.
Note that the reverse transformation is
e z i − e− z i
ri =
e z i + e− z i
Once the correlations have been converted into z values, the normal distribution may be used to conduct the test
of Z1 − Z2 . The standard deviation of the difference is given by
1 1
σ z −z = +
1 2
N1 − 3 N 2 − 3
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Tests for Two Correlations
The test statistic is given by
z =
( z1 − z 2 ) − ( Z1 − Z2 )
σ z −z
1 2
Note that the lower case z’s represent the values calculated from the two samples and the upper case Z’s represent
the hypothesized population values.
Calculating the Power

1. Find zα such that 1 − Φ( zα ) = α , where Φ( x ) is the area under the standardized normal curve to the left
of x.
1  1 + ρ1 
2. Calculate: Z1 = log 
2  1 − ρ1 
1  1 + ρ2 
3. Calculate: Z2 = log 
2  1 − ρ2 
1 1
4. Calculate: σ z1 − z 2 = +
N1 − 3 N 2 − 3
5. Calculate: xa = Z1 − Z2 + zα σ z1 − z2
xa
6. Calculate: z a =
σ z −z
1 2
7. Calculate: Power = 1 − Φ( z a )
Procedure Options
This section describes the options that are specific to this procedure. These are located on the Design tab. For
more information about the options of other tabs, go to the Procedure Window chapter.
Design Tab
The Design tab contains most of the parameters and options that you will be concerned with.
Solve For
Solve For
This option specifies the parameter to be solved for from the other parameters. Under most situations, you will
select either Power or Sample Size (N1).
Select Sample Size (N1) when you want to calculate the sample size needed to achieve a given power and alpha
level.
Select Power when you want to calculate the power of an experiment.
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Test
Alternative Hypothesis
This option specifies the alternative hypothesis. This implicitly specifies the direction of the hypothesis test. The
null hypothesis is always H0: ρ1 = ρ2.
Possible selections are:
• Ha: ρ1 ≠ ρ2
This is the most common selection. It yields the two-tailed test. Use this option when you are testing whether
the correlation values are different, but you do not want to specify beforehand which value is larger.
• Ha: ρ1 < ρ2
This option yields a one-tailed test. When you use this option, you should be careful to enter values for ρ1 and
ρ2 that follow this relationship.
• Ha: ρ1 > ρ2
This option yields a one-tailed test. When you use this option, you should be careful to enter values for ρ1 and
ρ2 that follow this relationship.
Power and Alpha

Power
This option specifies one or more values for power. Power is the probability of rejecting a false null hypothesis,
and is equal to one minus Beta. Beta is the probability of a type-II error, which occurs when a false null
hypothesis is not rejected. In this procedure, a type-II error occurs when you fail to reject the null hypothesis of
equal correlations when in fact they are different.
Values must be between zero and one. Historically, the value of 0.80 (Beta = 0.20) was used for power. Now,
0.90 (Beta = 0.10) is also commonly used.
A single value may be entered here or a range of values such as 0.8 to 0.95 by 0.05 may be entered.
Alpha
This option specifies one or more values for the probability of a type-I error. A type-I error occurs when you
reject the null hypothesis of equal correlations when in fact they are equal.
Values of alpha must be between zero and one. Historically, the value of 0.05 has been used for alpha. This means
that about one test in twenty will falsely reject the null hypothesis. You should pick a value for alpha that
represents the risk of a type-I error you are willing to take in your experimental situation.
You may enter a range of values such as 0.01 0.05 0.10 or 0.01 to 0.10 by 0.01.
Sample Size (When Solving for Sample Size)

Group Allocation
Select the option that describes the constraints on N1 or N2 or both.
The options are
• Equal (N1 = N2)

This selection is used when you wish to have equal sample sizes in each group. Since you are solving for both
sample sizes at once, no additional sample size parameters need to be entered.
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• Enter N1, solve for N2

Select this option when you wish to fix N1 at some value (or values), and then solve only for N2. Please note
that for some values of N1, there may not be a value of N2 that is large enough to obtain the desired power.
• Enter N2, solve for N1

Select this option when you wish to fix N2 at some value (or values), and then solve only for N1. Please note
that for some values of N2, there may not be a value of N1 that is large enough to obtain the desired power.
• Enter R = N2/N1, solve for N1 and N2

For this choice, you set a value for the ratio of N2 to N1, and then PASS determines the needed N1 and N2,
with this ratio, to obtain the desired power. An equivalent representation of the ratio, R, is
N2 = R * N1.
• Enter percentage in Group 1, solve for N1 and N2

For this choice, you set a value for the percentage of the total sample size that is in Group 1, and then PASS
determines the needed N1 and N2 with this percentage to obtain the desired power.
N1 (Sample Size, Group 1)
This option is displayed if Group Allocation = “Enter N1, solve for N2”
N1 is the number of items or individuals sampled from the Group 1 population.
N1 must be ≥ 2. You can enter a single value or a series of values.
This option is displayed if Group Allocation = “Enter N2, solve for N1”
R (Group Sample Size Ratio)
This option is displayed only if Group Allocation = “Enter R = N2/N1, solve for N1 and N2.”
R is the ratio of N2 to N1. That is,
R = N2 / N1.
Use this value to fix the ratio of N2 to N1 while solving for N1 and N2. Only sample size combinations with this
ratio are considered.
N2 is related to N1 by the formula:
N2 = [R × N1],
where the value [Y] is the next integer ≥ Y.
For example, setting R = 2.0 results in a Group 2 sample size that is double the sample size in Group 1 (e.g., N1 =
10 and N2 = 20, or N1 = 50 and N2 = 100).
R must be greater than 0. If R < 1, then N2 will be less than N1; if R > 1, then N2 will be greater than N1. You can
enter a single or a series of values.
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Percent in Group 1
This option is displayed only if Group Allocation = “Enter percentage in Group 1, solve for N1 and N2.”
Use this value to fix the percentage of the total sample size allocated to Group 1 while solving for N1 and N2.
Only sample size combinations with this Group 1 percentage are considered. Small variations from the specified
percentage may occur due to the discrete nature of sample sizes.
The Percent in Group 1 must be greater than 0 and less than 100. You can enter a single or a series of values.
Sample Size (When Not Solving for Sample Size)

Group Allocation
Select the option that describes how individuals in the study will be allocated to Group 1 and to Group 2.
The options are
• Equal (N1 = N2)

This selection is used when you wish to have equal sample sizes in each group. A single per group sample
size will be entered.
• Enter N1 and N2 individually

This choice permits you to enter different values for N1 and N2.
• Enter N1 and R, where N2 = R * N1

Choose this option to specify a value (or values) for N1, and obtain N2 as a ratio (multiple) of N1.
• Enter total sample size and percentage in Group 1

Choose this option to specify a value (or values) for the total sample size (N), obtain N1 as a percentage of N,
and then N2 as N - N1.
Sample Size Per Group
This option is displayed only if Group Allocation = “Equal (N1 = N2).”
The Sample Size Per Group is the number of items or individuals sampled from each of the Group 1 and Group 2
populations. Since the sample sizes are the same in each group, this value is the value for N1, and also the value
for N2.
The Sample Size Per Group must be ≥ 2. You can enter a single value or a series of values.
This option is displayed if Group Allocation = “Enter N1 and N2 individually” or “Enter N1 and R, where N2 =
R * N1.”
This option is displayed only if Group Allocation = “Enter N1 and N2 individually.”
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R (Group Sample Size Ratio)

This option is displayed only if Group Allocation = “Enter N1 and R, where N2 = R * N1.”
R is the ratio of N2 to N1. That is,
R = N2/N1
Use this value to obtain N2 as a multiple (or proportion) of N1.
N2 is calculated from N1 using the formula:
N2=[R x N1],
where the value [Y] is the next integer ≥ Y.
For example, setting R = 2.0 results in a Group 2 sample size that is double the sample size in Group 1.
R must be greater than 0. If R < 1, then N2 will be less than N1; if R > 1, then N2 will be greater than N1. You can
enter a single value or a series of values.
Total Sample Size (N)
This option is displayed only if Group Allocation = “Enter total sample size and percentage in Group 1.”
This is the total sample size, or the sum of the two group sample sizes. This value, along with the percentage of
the total sample size in Group 1, implicitly defines N1 and N2.
The total sample size must be greater than one, but practically, must be greater than 3, since each group sample
size needs to be at least 2.
You can enter a single value or a series of values.
Percent in Group 1
This option is displayed only if Group Allocation = “Enter total sample size and percentage in Group 1.”
This value fixes the percentage of the total sample size allocated to Group 1. Small variations from the specified
percentage may occur due to the discrete nature of sample sizes.
The Percent in Group 1 must be greater than 0 and less than 100. You can enter a single value or a series of
values.
Effect Size
ρ1 (Correlation Group 1)
Specify the value of the population correlation coefficient of group one. Possible values range between plus and
minus one.
You can enter a single value or a range of values separated by commas or blanks.
Note that the power depends on the specific values of ρ1 and ρ2, not just their difference. Hence, ρ1 = 0 and ρ2 =
0.3 will have a different power from ρ1 = 0.3 and ρ2 = 0.6.
ρ2 (Correlation Group 2)
Specify the value of the population correlation coefficient from group two under the alternative hypothesis.
Possible values range between plus and minus one.
You can enter a single value or a range of values separated by commas or blanks.
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Example 1 – Finding the Power

A researcher wants to compare the relationship between weight and heart rate in males and females. If the
correlation between weight and heart rate is 0.3 in a sample of 100 males and 0.5 in a sample of 100 females,
what is the power of a two sided test for the difference between correlations at the 0.01 and 0.05 significance
levels? Also compute the power for samples of 20, 200, 300, 400, and 600.
Setup
This section presents the values of each of the parameters needed to run this example. First, from the PASS Home
window, load the Tests for Two Correlations procedure window by expanding Correlation, then Correlation,
then clicking on Test (Inequality), and then clicking on Tests for Two Correlations. You may then make the
appropriate entries as listed below, or open Example 1 by going to the File menu and choosing Open Example
Template.
Option Value
Design Tab
Solve For ................................................ Power
Alternative Hypothesis ............................ Ha: ρ1 ≠ ρ2
Alpha ....................................................... 0.01 0.05
Group Allocation ..................................... Equal (N1 = N2)
Sample Size Per Group .......................... 20 100 200 300 400 600
ρ1 (Correlation Group 1) ......................... 0.3
Annotated Output
Click the Calculate button to perform the calculations and generate the following output.
Numeric Results
Numeric Results when Ha: ρ1 ≠ ρ2
Power N1 N2 N ρ1 ρ2 ρ1 - ρ2 Alpha
0.03081 20 20 40 0.30000 0.50000 -0.20000 0.010
0.18250 100 100 200 0.30000 0.50000 -0.20000 0.010
0.42230 200 200 400 0.30000 0.50000 -0.20000 0.010
0.63541 300 300 600 0.30000 0.50000 -0.20000 0.010
0.78888 400 400 800 0.30000 0.50000 -0.20000 0.010
0.94144 600 600 1200 0.30000 0.50000 -0.20000 0.010
0.10760 20 20 40 0.30000 0.50000 -0.20000 0.050
0.38603 100 100 200 0.30000 0.50000 -0.20000 0.050
0.66271 200 200 400 0.30000 0.50000 -0.20000 0.050
0.83200 300 300 600 0.30000 0.50000 -0.20000 0.050
0.92196 400 400 800 0.30000 0.50000 -0.20000 0.050
0.98548 600 600 1200 0.30000 0.50000 -0.20000 0.050
Report Definitions
Power is the probability of rejecting a false null hypothesis.
N1 and N2 are the number of items sampled from each population.
N is the total sample size, N1 + N2.
ρ1 is the value of both correlations under the null hypothesis.
ρ2 is the correlation in group two under the alternative hypothesis.
ρ1 - ρ2 is the difference between population correlations at which power and sample size calculations are
made.
Alpha is the probability of rejecting a true null hypothesis.
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Summary Statements
Group sample sizes of 20 and 20 achieve 3% power to detect a difference of 0.20000 between the
null hypothesis that both group correlations are 0.30000 and the alternative hypothesis that
the correlation in group 2 is 0.50000 using a two-sided z test (which uses Fisher's
z-transformation) with a significance level of 0.01000.
This report shows the values of each of the parameters, one scenario per row. The definitions of each column are
given in the Report Definitions section of the report, so they will not be repeated here.
The values from this table are plotted in the chart below.
Plots Section
These plots show the relationship between alpha, power, and sample size in this example.
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Example 2 – Finding the Sample Size

Continuing with the previous example, suppose the researchers want to determine the exact sample size necessary
to achieve 90% power at a 0.05 significance level.
Setup
window, load the Tests for Two Correlations procedure window by clicking on Correlation, then Tests for
Two Correlations. You may then make the appropriate entries as listed below, or open Example 2 by going to
the File menu and choosing Open Example Template.
Option Value
Design Tab
Solve For ................................................ Sample Size
Power ...................................................... 0.90
Alpha ....................................................... 0.05
Group Allocation ..................................... Equal (N1 = N2)
Output
Numeric Results
Target Actual
Power Power N1 N2 N ρ1 ρ2 ρ1 - ρ2 Alpha
0.90 0.90040 369 369 738 0.30000 0.50000 -0.20000 0.050
PASS has calculated the sample size as 369 per group.
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Example 3 – Validation using Zar

Zar (1984) page 314 presents an example of calculating the power for a test of two correlations. In his example,
when N1 = 95, N2 = 98, ρ1 = 0.84, ρ2 = 0.78, and alpha = 0.05, the power is 22% for a two-sided test.
Setup
window, load the Tests for Two Correlations procedure window by clicking on Correlation, then Tests for
Two Correlations. You may then make the appropriate entries as listed below, or open Example 1 by going to
the File menu and choosing Open Example Template.
Option Value
Design Tab
Solve For ................................................ Power
Alpha ....................................................... 0.05
Group Allocation ..................................... Enter N1 and N2 individually
N1 ........................................................... 95
N2 ........................................................... 98
Output
Numeric Results
Power N1 N2 N ρ1 ρ2 ρ1 - ρ2 Alpha
0.22498 95 98 193 0.84000 0.78000 0.06000 0.050
PASS also calculates the power to be 22%.
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PASS Sample Size Software NCSS.

Tests for Two

The test statistic is given by

Calculating the Power

Power and Alpha

Sample Size (When Solving for Sample Size)

• Equal (N1 = N2)

• Enter N1, solve for N2

• Enter N2, solve for N1

• Enter R = N2/N1, solve for N1 and N2

• Enter percentage in Group 1, solve for N1 and N2

Sample Size (When Not Solving for Sample Size)

• Equal (N1 = N2)

• Enter N1 and N2 individually

• Enter N1 and R, where N2 = R * N1

• Enter total sample size and percentage in Group 1

R (Group Sample Size Ratio)

Example 1 – Finding the Power

Example 2 – Finding the Sample Size

PASS has calculated the sample size as 369 per group.

Example 3 – Validation using Zar

PASS also calculates the power to be 22%.

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