Cochran's Q test - overview

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Cochran's Q test
Pearson correlation
One sample $t$ test for the mean
Logistic regression
Independent/grouping variableVariable 1Independent variableIndependent variables
One within subject factor ($\geq 2$ related groups)One quantitative of interval or ratio levelNoneOne or more quantitative of interval or ratio level and/or one or more categorical with independent groups, transformed into code variables
Dependent variableVariable 2Dependent variableDependent variable
One categorical with 2 independent groupsOne quantitative of interval or ratio levelOne quantitative of interval or ratio levelOne categorical with 2 independent groups
Null hypothesisNull hypothesisNull hypothesisNull hypothesis
H0: $\pi_1 = \pi_2 = \ldots = \pi_I$

Here $\pi_1$ is the population proportion of 'successes' for group 1, $\pi_2$ is the population proportion of 'successes' for group 2, and $\pi_I$ is the population proportion of 'successes' for group $I.$
H0: $\rho = \rho_0$

Here $\rho$ is the Pearson correlation in the population, and $\rho_0$ is the Pearson correlation in the population according to the null hypothesis (usually 0). The Pearson correlation is a measure for the strength and direction of the linear relationship between two variables of at least interval measurement level.
H0: $\mu = \mu_0$

Here $\mu$ is the population mean, and $\mu_0$ is the population mean according to the null hypothesis.
Model chi-squared test for the complete regression model:
• H0: $\beta_1 = \beta_2 = \ldots = \beta_K = 0$
Wald test for individual regression coefficient $\beta_k$:
• H0: $\beta_k = 0$
or in terms of odds ratio:
• H0: $e^{\beta_k} = 1$
Likelihood ratio chi-squared test for individual regression coefficient $\beta_k$:
• H0: $\beta_k = 0$
or in terms of odds ratio:
• H0: $e^{\beta_k} = 1$
in the regression equation $\ln \big(\frac{\pi_{y = 1}}{1 - \pi_{y = 1}} \big) = \beta_0 + \beta_1 \times x_1 + \beta_2 \times x_2 + \ldots + \beta_K \times x_K$. Here $x_i$ represents independent variable $i$, $\beta_i$ is the regression weight for independent variable $x_i$, and $\pi_{y = 1}$ represents the true probability that the dependent variable $y = 1$ (or equivalently, the proportion of $y = 1$ in the population) given the scores on the independent variables.
Alternative hypothesisAlternative hypothesisAlternative hypothesisAlternative hypothesis
H1: not all population proportions are equalH1 two sided: $\rho \neq \rho_0$
H1 right sided: $\rho > \rho_0$
H1 left sided: $\rho < \rho_0$
H1 two sided: $\mu \neq \mu_0$
H1 right sided: $\mu > \mu_0$
H1 left sided: $\mu < \mu_0$
Model chi-squared test for the complete regression model:
• H1: not all population regression coefficients are 0
Wald test for individual regression coefficient $\beta_k$:
• H1: $\beta_k \neq 0$
or in terms of odds ratio:
• H1: $e^{\beta_k} \neq 1$
If defined as Wald $= \dfrac{b_k}{SE_{b_k}}$ (see 'Test statistic'), also one sided alternatives can be tested:
• H1 right sided: $\beta_k > 0$
• H1 left sided: $\beta_k < 0$
Likelihood ratio chi-squared test for individual regression coefficient $\beta_k$:
• H1: $\beta_k \neq 0$
or in terms of odds ratio:
• H1: $e^{\beta_k} \neq 1$
AssumptionsAssumptions of test for correlationAssumptionsAssumptions
• Sample of 'blocks' (usually the subjects) is a simple random sample from the population. That is, blocks are independent of one another
• In the population, the two variables are jointly normally distributed (this covers the normality, homoscedasticity, and linearity assumptions)
• Sample of pairs is a simple random sample from the population of pairs. That is, pairs are independent of one another
Note: these assumptions are only important for the significance test and confidence interval, not for the correlation coefficient itself. The correlation coefficient just measures the strength of the linear relationship between two variables.
• Scores are normally distributed in the population
• Sample is a simple random sample from the population. That is, observations are independent of one another
• In the population, the relationship between the independent variables and the log odds $\ln (\frac{\pi_{y=1}}{1 - \pi_{y=1}})$ is linear
• The residuals are independent of one another
• Variables are measured without error
Also pay attention to:
• Multicollinearity
• Outliers
Test statisticTest statisticTest statisticTest statistic
If a failure is scored as 0 and a success is scored as 1:

$Q = k(k - 1) \dfrac{\sum_{groups} \Big (\mbox{group total} - \frac{\mbox{grand total}}{k} \Big)^2}{\sum_{blocks} \mbox{block total} \times (k - \mbox{block total})}$

Here $k$ is the number of related groups (usually the number of repeated measurements), a group total is the sum of the scores in a group, a block total is the sum of the scores in a block (usually a subject), and the grand total is the sum of all the scores.

Before computing $Q$, first exclude blocks with equal scores in all $k$ groups.
Test statistic for testing H0: $\rho = 0$:
• $t = \dfrac{r \times \sqrt{N - 2}}{\sqrt{1 - r^2}}$
where $r$ is the sample correlation $r = \frac{1}{N - 1} \sum_{j}\Big(\frac{x_{j} - \bar{x}}{s_x} \Big) \Big(\frac{y_{j} - \bar{y}}{s_y} \Big)$ and $N$ is the sample size
Test statistic for testing values for $\rho$ other than $\rho = 0$:
• $z = \dfrac{r_{Fisher} - \rho_{0_{Fisher}}}{\sqrt{\dfrac{1}{N - 3}}}$
• $r_{Fisher} = \dfrac{1}{2} \times \log\Bigg(\dfrac{1 + r}{1 - r} \Bigg )$, where $r$ is the sample correlation
• $\rho_{0_{Fisher}} = \dfrac{1}{2} \times \log\Bigg( \dfrac{1 + \rho_0}{1 - \rho_0} \Bigg )$, where $\rho_0$ is the population correlation according to H0
$t = \dfrac{\bar{y} - \mu_0}{s / \sqrt{N}}$
Here $\bar{y}$ is the sample mean, $\mu_0$ is the population mean according to the null hypothesis, $s$ is the sample standard deviation, and $N$ is the sample size.

The denominator $s / \sqrt{N}$ is the standard error of the sampling distribution of $\bar{y}$. The $t$ value indicates how many standard errors $\bar{y}$ is removed from $\mu_0$.
Model chi-squared test for the complete regression model:
• $X^2 = D_{null} - D_K = \mbox{null deviance} - \mbox{model deviance}$
$D_{null}$, the null deviance, is conceptually similar to the total variance of the dependent variable in OLS regression analysis. $D_K$, the model deviance, is conceptually similar to the residual variance in OLS regression analysis.
Wald test for individual $\beta_k$:
The wald statistic can be defined in two ways:
• Wald $= \dfrac{b_k^2}{SE^2_{b_k}}$
• Wald $= \dfrac{b_k}{SE_{b_k}}$
SPSS uses the first definition.

Likelihood ratio chi-squared test for individual $\beta_k$:
• $X^2 = D_{K-1} - D_K$
$D_{K-1}$ is the model deviance, where independent variable $k$ is excluded from the model. $D_{K}$ is the model deviance, where independent variable $k$ is included in the model.
Sampling distribution of $Q$ if H0 were trueSampling distribution of $t$ and of $z$ if H0 were trueSampling distribution of $t$ if H0 were trueSampling distribution of $X^2$ and of the Wald statistic if H0 were true
If the number of blocks (usually the number of subjects) is large, approximately the chi-squared distribution with $k - 1$ degrees of freedomSampling distribution of $t$:
• $t$ distribution with $N - 2$ degrees of freedom
Sampling distribution of $z$:
• Approximately the standard normal distribution
$t$ distribution with $N - 1$ degrees of freedomSampling distribution of $X^2$, as computed in the model chi-squared test for the complete model:
• chi-squared distribution with $K$ (number of independent variables) degrees of freedom
Sampling distribution of the Wald statistic:
• If defined as Wald $= \dfrac{b_k^2}{SE^2_{b_k}}$: approximately the chi-squared distribution with 1 degree of freedom
• If defined as Wald $= \dfrac{b_k}{SE_{b_k}}$: approximately the standard normal distribution
Sampling distribution of $X^2$, as computed in the likelihood ratio chi-squared test for individual $\beta_k$:
• chi-squared distribution with 1 degree of freedom
Significant?Significant?Significant?Significant?
If the number of blocks is large, the table with critical $X^2$ values can be used. If we denote $X^2 = Q$:
• Check if $X^2$ observed in sample is equal to or larger than critical value $X^{2*}$ or
• Find $p$ value corresponding to observed $X^2$ and check if it is equal to or smaller than $\alpha$
$t$ Test two sided:
$t$ Test right sided:
$t$ Test left sided:
$z$ Test two sided:
$z$ Test right sided:
$z$ Test left sided:
Two sided:
Right sided:
Left sided:
For the model chi-squared test for the complete regression model and likelihood ratio chi-squared test for individual $\beta_k$:
• Check if $X^2$ observed in sample is equal to or larger than critical value $X^{2*}$ or
• Find $p$ value corresponding to observed $X^2$ and check if it is equal to or smaller than $\alpha$
For the Wald test:
• If defined as Wald $= \dfrac{b_k^2}{SE^2_{b_k}}$: same procedure as for the chi-squared tests. Wald can be interpret as $X^2$
• If defined as Wald $= \dfrac{b_k}{SE_{b_k}}$: same procedure as for any $z$ test. Wald can be interpreted as $z$.
n.a.Approximate $C$% confidence interval for $\rho$$C\% confidence interval for \muWald-type approximate C\% confidence interval for \beta_k -First compute the approximate C% confidence interval for \rho_{Fisher}: • lower_{Fisher} = r_{Fisher} - z^* \times \sqrt{\dfrac{1}{N - 3}} • upper_{Fisher} = r_{Fisher} + z^* \times \sqrt{\dfrac{1}{N - 3}} where r_{Fisher} = \frac{1}{2} \times \log\Bigg(\dfrac{1 + r}{1 - r} \Bigg ) and the critical value z^* is the value under the normal curve with the area C / 100 between -z^* and z^* (e.g. z^* = 1.96 for a 95% confidence interval). Then transform back to get the approximate C% confidence interval for \rho: • lower bound = \dfrac{e^{2 \times lower_{Fisher}} - 1}{e^{2 \times lower_{Fisher}} + 1} • upper bound = \dfrac{e^{2 \times upper_{Fisher}} - 1}{e^{2 \times upper_{Fisher}} + 1} \bar{y} \pm t^* \times \dfrac{s}{\sqrt{N}} where the critical value t^* is the value under the t_{N-1} distribution with the area C / 100 between -t^* and t^* (e.g. t^* = 2.086 for a 95% confidence interval when df = 20). The confidence interval for \mu can also be used as significance test. b_k \pm z^* \times SE_{b_k} where the critical value z^* is the value under the normal curve with the area C / 100 between -z^* and z^* (e.g. z^* = 1.96 for a 95% confidence interval). n.a.Properties of the Pearson correlation coefficientEffect sizeGoodness of fit measure R^2_L - • The Pearson correlation coefficient is a measure for the linear relationship between two quantitative variables. • The Pearson correlation coefficient squared reflects the proportion of variance explained in one variable by the other variable. • The Pearson correlation coefficient can take on values between -1 (perfect negative relationship) and 1 (perfect positive relationship). A value of 0 means no linear relationship. • The absolute size of the Pearson correlation coefficient is not affected by any linear transformation of the variables. However, the sign of the Pearson correlation will flip when the scores on one of the two variables are multiplied by a negative number (reversing the direction of measurement of that variable). For example: • the correlation between x and y is equivalent to the correlation between 3x + 5 and 2y - 6. • the absolute value of the correlation between x and y is equivalent to the absolute value of the correlation between -3x + 5 and 2y - 6. However, the signs of the two correlation coefficients will be in opposite directions, due to the multiplication of x by -3. • The Pearson correlation coefficient does not say anything about causality. • The Pearson correlation coefficient is sensitive to outliers. Cohen's d: Standardized difference between the sample mean and \mu_0:$$d = \frac{\bar{y} - \mu_0}{s}$$Cohen's$d$indicates how many standard deviations$s$the sample mean$\bar{y}$is removed from$\mu_0.R^2_L = \dfrac{D_{null} - D_K}{D_{null}}$There are several other goodness of fit measures in logistic regression. In logistic regression, there is no single agreed upon measure of goodness of fit. n.a.n.a.Visual representationn.a. --- Equivalent toEquivalent ton.a.n.a. Friedman test, with a categorical dependent variable consisting of two independent groups.OLS regression with one independent variable: •$b_1 = r \times \frac{s_y}{s_x}$• Results significance test ($t$and$p$value) testing$H_0$:$\beta_1 = 0$are equivalent to results significance test testing$H_0$:$\rho = 0$-- Example contextExample contextExample contextExample context Subjects perform three different tasks, which they can either perform correctly or incorrectly. Is there a difference in task performance between the three different tasks?Is there a linear relationship between physical health and mental health?Is the average mental health score of office workers different from$\mu_0 = 50$?Can body mass index, stress level, and gender predict whether people get diagnosed with diabetes? SPSSSPSSSPSSSPSS Analyze > Nonparametric Tests > Legacy Dialogs > K Related Samples... • Put the$k$variables containing the scores for the$k$related groups in the white box below Test Variables • Under Test Type, select Cochran's Q test Analyze > Correlate > Bivariate... • Put your two variables in the box below Variables Analyze > Compare Means > One-Sample T Test... • Put your variable in the box below Test Variable(s) • Fill in the value for$\mu_0$in the box next to Test Value Analyze > Regression > Binary Logistic... • Put your dependent variable in the box below Dependent and your independent (predictor) variables in the box below Covariate(s) JamoviJamoviJamoviJamovi Jamovi does not have a specific option for the Cochran's Q test. However, you can do the Friedman test instead. The$p$value resulting from this Friedman test is equivalent to the$p$value that would have resulted from the Cochran's Q test. Go to: ANOVA > Repeated Measures ANOVA - Friedman • Put the$k$variables containing the scores for the$k$related groups in the box below Measures Regression > Correlation Matrix • Put your two variables in the white box at the right • Under Correlation Coefficients, select Pearson (selected by default) • Under Hypothesis, select your alternative hypothesis T-Tests > One Sample T-Test • Put your variable in the box below Dependent Variables • Under Hypothesis, fill in the value for$\mu_0\$ in the box next to Test Value, and select your alternative hypothesis
Regression > 2 Outcomes - Binomial
• Put your dependent variable in the box below Dependent Variable and your independent variables of interval/ratio level in the box below Covariates
• If you also have code (dummy) variables as independent variables, you can put these in the box below Covariates as well
• Instead of transforming your categorical independent variable(s) into code variables, you can also put the untransformed categorical independent variables in the box below Factors. Jamovi will then make the code variables for you 'behind the scenes'
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