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

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  • Jone Ascorbebeitia

    (University of the Basque Country UPV/EHU)

  • Eva Ferreira

    (University of the Basque Country UPV/EHU)

  • Susan Orbe

    (University of the Basque Country UPV/EHU)

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.

Suggested Citation

  • Jone Ascorbebeitia & Eva Ferreira & Susan Orbe, 2022. "Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(4), pages 931-949, December.
    • Handle: RePEc:spr:testjl:v:31:y:2022:i:4:d:10.1007_s11749-022-00806-1
    DOI: 10.1007/s11749-022-00806-1
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    Cited by:

    1. Rutger van der Spek & Alexis Derumigny, 2022. "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions," Papers 2204.03285, arXiv.org.

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