A new test of independence for bivariate observations
D. Bagkavos and
Journal of Multivariate Analysis, 2017, vol. 160, issue C, 117-133
This research contributes a new methodological advance on bivariate independence hypothesis testing. It is based on the property that under independence, every quantile of Y given X=x is constant. Apart from the asymptotic distributions of the test statistic under the null and alternative hypotheses, this work establishes their first order Edgeworth expansion. This is used to construct a bandwidth selection rule, designed to maximize power while the size is controlled by a given significance level. Finally, numerical evidence is given on the test’s benefits against standard independence tests, frequently encountered in the literature.
Keywords: Independence; Hypothesis test; Power; Quantiles (search for similar items in EconPapers)
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