Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness

Jone Ascorbebeitia (), Eva Ferreira and Susan Orbe
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Jone Ascorbebeitia: University of the Basque Country UPV/EHU
Susan Orbe: University of the Basque Country UPV/EHU

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2022, vol. 31, issue 4, No 3, 949 pages

Abstract: Abstract Joint distribution between two or more variables could be influenced by the outcome of a conditioning variable. In this paper, we propose a flexible Wald-type statistic to test for such influence. The test is based on a conditioned multivariate Kendall’s tau nonparametric estimator. The asymptotic properties of the test statistic are established under different null hypotheses to be tested for, such as conditional independence or testing for constant conditional dependence. Two simulation studies are presented: The first shows that the estimator proposed and the bandwidth selection procedure perform well. The second presents different bivariate and multivariate models to check the size and power of the test and runs comparisons with previous proposals when appropriate. The results support the contention that the test is accurate even in complex situations and that its computational cost is low. As an empirical application, we study the dependence between some pillars of European Regional Competitiveness when conditioned on the quality of regional institutions. We find interesting results, such as weaker links between innovation and higher education in regions with lower institutional quality.

Keywords: Conditional copula; Nonparametric estimation; Multivariate dependence; Kendall’s tau; 62H05 Copulas; 62G05 Nonparametric estimation; 62H20 Measures of association; 62G15 Hypothesis testing in multivariate analysis (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11749-022-00806-1

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