rcorr.test: Testing zero Pearson correlation

In testcorr: Testing Zero Correlation

Testing zero Pearson correlation

Description

The function rcorr.test computes the test statistics for examining the null hypothesis of zero Pearson correlation for multivariate series in Dalla, Giraitis and Phillips (2022).

Usage

rcorr.test(x, plot = TRUE, var.names = NULL, scale.font = 1)

Arguments

x	A numeric matrix or a multivariate numeric time series object (ts, xts, zoo) or a data frame.
plot	Logical. If TRUE the sample Pearson correlations and the p-values for significance are plotted. Default is TRUE.
var.names	NULL or a character string specifying the variable names. If NULL and x has names, the names of x are used. If NULL and x has no names, the string c("x[1]","x[2]",...) is used. Default is NULL.
scale.font	A positive number indicating the scaling of the font size in the plots. Default is 1.

Details

The p-value of the robust \widetilde{t} statistic is for testing the null hypothesis H_0:\rho_{i,j}=0, where \rho_{i,j} denotes the correlation of x_{i} and x_{j}.

Value

An object of class "rcorr.test", which is a list with the following components:

pc	The sample Pearson correlations.
pv	The p-values for the \widetilde{t} test statistics.
varnames	The variable names used in the plot/table.

Note

Missing values are not allowed.

Author(s)

Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips

References

Dalla, V., Giraitis, L. and Phillips, P. C. B. (2022). "Robust Tests for White Noise and Cross-Correlation". Econometric Theory, 38(5), 913-941, \Sexpr[results=rd]{tools:::Rd_expr_doi("doi:10.1017/S0266466620000341")}. Cowles Foundation, Discussion Paper No. 2194RS, https://elischolar.library.yale.edu/cowles-discussion-paper-series/57/.
Giraitis, L., Li, Y. and Phillips, P. C. B. (2024). "Robust Inference on Correlation under General Heterogeneity". Journal of Econometrics, 244(1), 105691, \Sexpr[results=rd]{tools:::Rd_expr_doi("doi:10.1016/j.jeconom.2024.105691")}.

Examples

x <- matrix(rnorm(400), 100)
rcorr.test(x)

testcorr documentation built on April 20, 2026, 5:07 p.m.