Problem solved in full
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Correlation of โ0.887 across 400 points with Z held fixed 6 steps
X and Y correlate at โ0.887 across 400 points. Work out how much of that survives once Z is held fixed, and say how confident you are allowed to be in either number.
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Three correlations, all measured from the same 400 points. Everything below is arithmetic on these three numbers โ no further access to the data is needed, which is the useful part.
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The partial correlation asks what is left of XโY once the part of each that Z explains is subtracted. The formula is the correlation of the two residuals, written out in terms of the raw correlations.
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The numerator is where the answer is decided. Z's effect on X times Z's effect on Y accounts for 0.8805 of the 0.8871 observed โ the correlation is a shadow, not a signal.
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The denominator only rescales. Note it is built from the variance not explained by Z, which is why a Z that explains almost everything makes the estimate unstable.
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Now put an error bar on both. Fisher's transformation turns a correlation into something roughly normal, and multiplying by โ(nโ3) gives the distance from zero in standard errors.
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For a rough check the standard error of r near zero is 1/โ(nโ3). At 0.050, a partial correlation of โ0.055 is one standard error out.
Answer
Almost none of it survives: โ0.0553. Convert both to Fisher's z and the raw correlation stands 28 standard errors from zero while the partial correlation stands 1.1 โ the difference between the most certain thing in the dataset and a result you would expect from noise a quarter of the time. Two warnings come free with that. The partial correlation is a difference of two nearly equal numbers, 0.8871 against 0.8805, so the four digits you feed in buy you barely two in the answer. And this arithmetic cannot tell you Z is a confounder rather than a mediator; that came from knowing what Z is. Conditioning on a mediator destroys a real effect just as thoroughly as conditioning on a confounder destroys a false one.
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References (1)
- Insight block 3 โ Simpson's paradox in the case that made it famous: P. J. Bickel, E. A. Hammel and J. W. O'Connell, "Sex Bias in Graduate Admissions: Data from Berkeley." Science 187(4175), 398โ404, 1975.