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Sample size for a weak correlation to be significant

Question

You have nn data pairs (xi,yi)(x_i,y_i) with both xx and yy centred to mean zero, and you regress yy on xx through the origin, y=β^x+εy=\hat\beta x+\varepsilon. The sample correlation is 1103\tfrac{1}{10\sqrt3}. What is the smallest nn for which the one-sided test of H0:β=0H_0:\beta=0 against β>0\beta>0 is significant at the 5%5\% level? Use 1.6451.645 and 1.961.96 as the 9595th and 97.597.5th percentiles.

Short answer

811811. For a no-intercept fit on centred data with n−1n-1 residual degrees of freedom, the slope tt statistic simplifies to t=rn−1/1−r2t=r\sqrt{n-1}/\sqrt{1-r^2}. With r2=1300r^2=\tfrac1{300} this is (n−1)/299\sqrt{(n-1)/299}, which first exceeds 1.6451.645 when n−1=810n-1=810.

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