Robust Tests for the Equality of Two Correlation Coefficients: A Monte Carlo Study

When several variates are measured on the individuals of a single sample, it is often of interest to test whether or not two population correlation coefficients are equal. For example, in the behavioral sciences, it is often desirable to know whether two mental tests have equal test-retest reliability. In the present paper, eight asymptotically robust tests are proposed and are studied along with two parametric tests recommended by previous studies. Monte Carlo simulation is used to compare the small sample performance of these ten tests under the null hypothesis H o : ρ 12 = ρ 34 where ρ ab is the population product moment correlation coefficient between variables X a and X b . Seven distributions are considered; a normal distribution, two mixed normal distributions, and four other nonnormal distributions.